Screening for Seven Down Days, Moderate Turnover, and Moving Average Overlap

Summary

This Chinese stock selection rule filters for turnover between 3% and 12%, seven consecutive non-rising closes, and overlap with at least five moving averages. The stated intent is to find stocks that have fallen in the short term while showing a potentially stable longer-term price structure, with the overlap treated as a possible sign of rebound potential. The post gives a formula and sample Python logic, but these examples operationalize overlap as repeated equality between the close and a five-day moving average. That implementation does not clearly capture the stated condition of five distinct moving averages converging.

No backtest, performance statistics, or comparison with a benchmark is provided. The article acknowledges that price-only filters omit fundamentals and can select shares whose declines continue for company-specific or market reasons. It suggests combining technical and fundamental measures and adjusting moving-average windows for market conditions. The proposed rebound interpretation remains a hypothesis that needs precise signal definitions and out-of-sample evaluation.

Key ideas

• The screen combines turnover from 3% to 12%, seven consecutive closes no higher than the prior close, and a moving-average overlap condition.
• The proposed rationale is that a recent decline alongside clustered averages may indicate rebound potential.
• The example formula and Python logic check repeated contact with a five-day average, which differs from requiring five distinct averages to converge.
• The post provides no test results and notes that price-only rules omit fundamental information.
• Any rebound signal should be defined precisely and assessed across market conditions before use.

Tags

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