Stock Screening with Turnover, Seven-Day Declines, and Concentration

Summary

This Chinese-language strategy note proposes screening equities with turnover between 3% and 12%, seven consecutive declining sessions, and a shareholder concentration measure between 20% and 70%. It provides example expressions for a charting platform and a Python routine that applies the turnover, price-history, and concentration filters to grouped stock data.

The note argues that the filters aim to find stocks with meaningful market participation after a sustained decline, but it offers no backtest, return data, or comparison with a benchmark. It flags limitations: concentration alone may not capture a company’s or market’s condition, unreliable data can distort selection, a run of declines can miss opportunities, and turnover is an incomplete measure. It suggests evaluating additional fundamental or quantitative factors, including machine-learning methods, before relying on the screen.

Key ideas

• The screen requires turnover above 3% and below 12%.
• It selects stocks whose prices have declined for seven consecutive sessions.
• It filters for shareholder concentration between 20% and 70%.
• The note provides formula and Python examples but no performance evidence.
• It warns that the filters may be incomplete and sensitive to data quality.

Tags

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