Screening for Seven Down Days, High Turnover, and Fundamental Growth

Summary

This document presents a China A-share screen centered on turnover between 3% and 12%, a seven-day declining-price condition, current volume above 10,000 lots, and an opening price above the previous close. Its final proposed version adds market capitalization above 10 billion, year-over-year return-on-equity growth above 10%, and net profit growth above 10%, aiming to combine a depressed recent price pattern with liquidity and fundamental filters.

The article includes formula and Python examples, but reports no backtest or trading results. It cautions that the screen may miss long-term business value, be sensitive to volatile market conditions, and select stocks based on a temporary volume increase or weak liquidity. The examples also appear to encode the seven-day decline condition differently, and metric names or units may vary by data source; these details need validation before implementation. The author suggests adding other technical measures and risk controls, such as a stop level.

Key ideas

• The initial screen combines turnover, a seven-day decline, current volume, and a gap-up open.
• The proposed refined screen adds market capitalization, return-on-equity growth, and net profit growth filters.
• The article gives formula and Python examples but no evidence of strategy performance.
• It warns that price and volume conditions can be volatile and may overlook underlying business quality.
• Implementation requires checking the decline definition and data-source units and fields.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.