Selecting Stocks by Turnover, Reversal Candles, and Market Capitalization

Summary

This post outlines a Chinese equity screening rule using three conditions: turnover between 3% and 12%, a reversal or engulfing-style price pattern, and circulating market capitalization above 10 billion yuan. The text frames the turnover range as a liquidity filter, the price pattern as a way to identify market interest, and the capitalization threshold as a preference for larger firms. Its formula and sample code point to Shenzhen-listed stocks that remain actively listed.

The post does not report a backtest, a return series, or evidence that the screen finds profitable trades. It warns that the filters omit company fundamentals and could admit firms with unstable earnings. Suggested extensions include adding valuation and other fundamental measures, or tuning parameters with machine learning. The reversal pattern is not fully specified in the prose, and the code examples may not implement every stated condition consistently, so the rule would need careful verification before research use.

Key ideas

• The screen combines a 3%–12% turnover range, a reversal pattern, and circulating market capitalization above 10 billion yuan.
• The stated universe is actively listed Shenzhen stocks.
• The author identifies missing fundamental analysis as a limitation and suggests adding company metrics.
• No performance evidence is reported, and the reversal condition needs clearer definition.

Tags

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