A China A-Share Screen Using Turnover, Daily Gains, and Large Orders
Summary
The document describes a daily stock selection rule for China’s main-board equities. It filters for turnover within a specified range and a positive daily price move above a threshold, then seeks stocks ranked among the leaders for large-order net buying. It provides indicator expressions and a Python reference that groups market data by security, checks recent conditions, and returns selected codes. The described inputs include price, turnover, volume, and large-order net amount data.
The post frames the rule as a technical screen for securities attracting large-order flows, but offers no backtest results, benchmark, transaction-cost treatment, or evidence that the signal predicts future returns. Its code also uses recent volume ranking and summed net flows as proxies, which may not exactly match the stated large-order ranking criterion. The author cautions that large inflows do not guarantee gains and that the screen omits company fundamentals and industry prospects, suggesting that financial measures could be added for further evaluation.
Key ideas
- The screen combines a turnover range, a minimum daily rise, and a main-board market filter.
- It aims to select securities with strong large-order buying or related volume rankings.
- The reference implementation relies on historical price, turnover, volume, and net-flow fields.
- Large-order inflows are not proof of future price appreciation.
- The post provides no performance testing and notes that fundamental and industry factors are omitted.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.