Screening Stocks by Turnover, Reversal Pattern, and Holder Concentration

Summary

This article describes a Chinese stock-selection screen combining turnover between 3% and 12%, a reversal or engulfing-style price condition, and a holder-concentration threshold. Its example calculations use the day’s high and low relative to the previous close to derive a range-position measure, then retain stocks meeting a stated cutoff. The sample implementation further filters for listed Shenzhen stocks. The article characterizes the turnover rule as a liquidity consideration and concentration as a rough indicator of institutional ownership.

The author cautions that concentration alone may not capture a company’s characteristics and that the screen omits broader fundamental analysis. Suggested additions include dividend yield, operating profit, and technical factors. The document supplies selection logic and code references, but no performance results, backtest, or evidence that the combination improves returns. Its description of concentration thresholds is also not fully clear, so the intended definition should be verified before implementation.

Key ideas

• The screen combines a turnover range, a reversal-style price condition, and a holder-concentration cutoff.
• The example derives a price-range measure from the day’s high and low relative to the previous close.
• The sample filters for listed Shenzhen stocks.
• The article notes that concentration is only a limited proxy and recommends broader company analysis.
• No backtest or return evidence is provided, and the concentration threshold wording is ambiguous.

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