Screening Main-Board Stocks for a Three-Day Decline and Rebound

Summary

The document describes a Chinese equity screening rule for main-board stocks. It looks for shares with turnover between 3% and 12%, three consecutive down days, and a gain of more than 1% today. The stated rationale is to find stocks that may be rebounding after a short pullback while avoiding unusually low or high turnover. It provides example formulas and Python-style logic for applying the filters.

The article gives no performance results or validation for the screen. Its own risk discussion notes that the rule focuses on short-term price action and may miss smaller-board stocks; it also does not account for company fundamentals. The implementation examples should be treated cautiously: their date ranges and fields may not consistently represent the stated current-day and main-board conditions. The article suggests adding valuation or dividend measures and considering a longer horizon, but does not test those changes. This is a screening heuristic, not evidence that selected stocks will rise.

Key ideas

• The screen requires turnover between 3% and 12% for main-board stocks.
• It combines three consecutive declining sessions with a current-day gain above 1%.
• The proposed rationale is to identify possible rebounds after short-term weakness.
• The article provides sample formula and Python implementations but no backtest results.
• It warns that the short horizon and lack of fundamental filters limit the screen.

Tags

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