Stock Screening with Turnover Bounds and Three-Day Price Conditions

Summary

The document describes a Chinese equity screening rule that combines turnover constraints with a three-day price condition. It proposes selecting stocks with turnover between 3% and 12%, three consecutive declining sessions, and turnover between 2% and 9%. It also includes example indicator and Python implementations intended to illustrate how such a screen could be assembled.

The examples do not cleanly match the stated rule: one turnover condition overlaps another, the indicator snippet includes a rising close condition, and the Python example compares consecutive closes rather than checking three down candles. Its turnover calculation also uses volume ratios, which are not necessarily equivalent to reported turnover rates. The post offers no backtest or performance evidence. It cautions that technical and turnover filters omit company fundamentals and industry characteristics, and suggests adding those dimensions to a broader multi-factor approach.

Key ideas

• The proposed screen combines turnover ranges with a three-session price condition.
• The written rule and the sample implementations contain discrepancies, so the examples need validation before use.
• The post gives no performance evidence for the screen.
• It identifies missing fundamental and industry information as a limitation and suggests a broader factor model.

Tags

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