Screening for Seven Down Days with Bid-Ask Volume and Turnover Filters

Summary

This note describes a Chinese equity screen for shares with turnover between 3% and 12%, seven consecutive falling sessions, and greater volume at the best bid than at the best ask. It frames the setup as a way to find stocks that have declined for several days while showing stronger displayed buying volume. Formula and Python examples illustrate the turnover and price filters, with the Python version checking that each of the last seven closes is below its open.

The article warns that price and order-volume conditions alone do not assess company fundamentals or the broader economy. It suggests incorporating valuation and profitability measures, but supplies no empirical results or evidence that the screen reduces drawdowns. The examples also differ in how they define a falling day, so users would need to reconcile that discrepancy when implementing the rule.

Key ideas

• The screen requires turnover between 3% and 12% and a seven-day decline condition.
• It also requires best-bid volume to exceed best-ask volume.
• The Python example defines the decline condition as seven sessions in which close is below open.
• The post recommends adding fundamental measures but provides no test results for the strategy.

Tags

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