Stock Screening with Turnover, Seven-Day Declines, and Financial Filters

Summary

This post describes an equity screen combining daily turnover between 3% and 12%, seven consecutive declining sessions, market capitalization below 10 billion yuan, and no losses in the preceding three years. It presents the screen as a way to pair recent market weakness with basic financial quality, aimed at investors with a value orientation. Example formulas and Python logic are included, along with filters for low price-to-book value and avoiding special-treatment stocks.

The document offers no backtest, performance figures, or evidence that the combination improves returns. It warns that the screen may produce few candidates and that source data can be unreliable. The formulas also appear inconsistent with the stated logic in places: the formula uses industry and market fields in ways that may not represent the intended exclusions or market capitalization, and the Python checks do not clearly implement three years without losses. Treat the rules as an illustrative screen requiring validation and adjustment to the data provider.

Key ideas

• The screen looks for stocks with turnover from 3% to 12% and seven straight declining sessions.
• It adds a market-cap ceiling and a recent profitability requirement to the price and trading filters.
• The examples include price-to-book and special-treatment exclusions, but their implementation may not match the prose.
• The post gives no performance testing and cautions that data quality and sparse selections are concerns.

Tags

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