Screening Main Board Stocks by Turnover, Daily Gain, and Intraday Drop

Summary

This note describes a Chinese main board stock screen using four conditions: turnover between 3% and 12%, a daily gain above 1%, non-ST status, and a reported maximum decline within the range of -5% to -4%. It presents the combination as a way to find stocks with moderate trading activity and positive daily performance while filtering for a particular intraday pullback.

The article offers a rationale for each condition, but provides no historical performance figures, backtest design, or evidence that the screen predicts future returns. It also does not define how the intraday maximum decline is calculated or specify the exact time at which candidates are selected. The author flags the short observation window and absence of fundamental analysis as limitations, and suggests adding technical indicators and company data. The referenced formula and Python examples are marked as not yet supplied, so the screen is described in words rather than as a reproducible implementation.

Key ideas

• The screen requires turnover between 3% and 12% and a daily gain above 1%.
• It is restricted to non-ST stocks listed on China's main board.
• It also selects for a reported maximum daily decline between -5% and -4%.
• The article offers a rationale but no backtest results or evidence of predictive performance.
• It identifies short-term selection and missing fundamental analysis as limitations.

Tags

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