Stock Screening with Turnover, Seven-Day Declines, and the Five-Day Average

Summary

This Chinese stock-screening note describes selecting equities with turnover between 3% and 12%, seven consecutive declining sessions, and a closing price above the five-day moving average. Its formula and Python example also check that the latest close is the seven-day low and compare the close with the moving average, though the formula’s prior-day moving-average condition does not align cleanly with the prose description.

The author presents this as a restrictive technical screen and warns that it may miss volatile, cyclical stocks; turnover and price indicators can also be affected by market conditions and institutional activity. Suggested refinements include adding relative-strength and valuation measures, using time-series methods, and checking data quality and timeliness. The document supplies no backtest, performance evidence, or detailed rules for portfolio construction or execution, so the screening idea’s effectiveness is unestablished.

Key ideas

• The screen combines turnover between 3% and 12% with a seven-session decline pattern and a price condition relative to the five-day moving average.
• The formula and example code differ in how they express the moving-average and seven-day-low checks.
• The author cautions that the screen can miss cyclical stocks and that market conditions may distort its inputs.
• Potential refinements include adding relative-strength, valuation, and time-series analysis.
• No performance results or backtest are provided.

Tags

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