Screening Shanghai-Listed Stocks for Seven Consecutive Down Days

Summary

This document describes a Chinese equity screen combining a turnover-rate range of 3% to 12%, a stock code beginning with 60, and seven consecutive daily declines during 2021. It provides formula and Python examples that operationalize those conditions, using closing prices to identify falling sessions and the year as an additional filter.

The article argues that these constraints narrow the candidate list, but offers no backtest, performance data, or evidence that the combination predicts returns. It flags overfitting and the possibility that too few stocks will qualify. It suggests broadening the criteria or adding technical measures, fundamentals, and stop-loss or take-profit rules; those suggestions are not tested. The code examples may also require adaptation to the data source and careful alignment of the seven-session and date conditions.

Key ideas

• The screen combines turnover between 3% and 12% with a stock code beginning with 60.
• It selects stocks with seven consecutive closing-price declines during 2021.
• The article provides formula and Python examples but reports no empirical performance.
• More restrictive filters may reduce the candidate pool and increase overfitting risk.
• Possible extensions include fundamental filters and explicit exit rules.

Tags

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