Screening Stocks by Turnover, Recent Returns, and Prior-Day Trading Activity

Summary

This proposed Chinese equity screen uses turnover, recent price movement, and prior-day actual turnover to identify candidates. Its headline criteria specify a turnover rate between 3% and 12%, a 10-day gain above zero but below 35%, and prior-day actual turnover above a stated threshold. The accompanying formula and Python example do not consistently implement those headline conditions: they use different price-versus-moving-average and turnover lookback tests, and the threshold notation is ambiguous.

The author says the approach emphasizes trading activity and short-term price behavior, while warning that it omits fundamentals and may be too focused on technical signals. Combining volume-price analysis and fundamental review is suggested. No backtest results or evidence of predictive performance are provided, and the discrepancies between the stated rules and examples should be resolved before use.

Key ideas

• The proposed screen combines a turnover band, a bounded 10-day gain, and prior-day actual turnover.
• The formula and code examples diverge from the headline criteria and from each other.
• The approach emphasizes liquidity and short-term price action while omitting fundamental analysis.
• The author recommends combining technical filters with volume-price and fundamental analysis.

Tags

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