Screening Stocks by Turnover, Three Down Days, and Prior Turnover

Summary

This post outlines a Chinese equity screen requiring current turnover between 3% and 12%, three consecutive sessions with falling closes, and prior-day actual turnover between 3% and 28%. It combines recent price weakness with turnover conditions to identify stocks for further consideration. The article includes example formula and historical-data code, though the code’s calculations do not clearly correspond to every stated filter, so implementation should be checked against the intended definitions.

The author acknowledges that using only the previous session’s actual turnover can miss stocks whose turnover trend matters, and suggests adding other technical measures such as the relationship between opening and closing prices. No backtest, measured returns, or evidence of predictive value is provided. The rule is therefore a screening hypothesis, not a demonstrated strategy; it also does not establish whether three down days signal continuation or reversal.

Key ideas

• The screen combines turnover of 3%–12% with three consecutive sessions of falling closes.
• It also requires prior-day actual turnover between 3% and 28%.
• The post provides sample code but no backtest or evidence of profitability.
• The author notes that a single prior-day turnover measure may overlook the broader turnover trend.
• The written criteria and example calculations should be reconciled before using the screen.

Tags

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