Selecting Stocks After Seven Down Days with Turnover and Auction Volume Filters

Summary

The document outlines a Chinese equity screening rule combining a turnover-rate range of 3% to 12%, seven consecutive declining days, and an opening-auction volume condition described as growth of more than 50% versus the prior day. It includes sample formulas and Python-style code intended to implement the screen. The written explanation presents the auction-volume filter as a way to add trading activity information to a declining-price setup.

The post gives no backtest results or measured performance for this specific rule. It warns that the screen relies heavily on short-term price and volume behavior and does not assess company fundamentals, industry prospects, or longer-term market context. The examples also appear to use inconsistent variables and comparisons for the auction-volume condition, so implementation details need validation against the intended data fields before the rule can be evaluated or used.

Key ideas

• The screen looks for stocks with turnover between 3% and 12%.
• It combines seven consecutive declining days with an opening-auction volume filter.
• The post recommends adding fundamental and longer-term context to the screening process.
• No performance evidence is reported, and the sample formulas may not faithfully implement the written rule.

Tags

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