A Chinese Equity Screen Combining Turnover, Limit-Ups, and Large-Order Flow

Summary

This article proposes a Chinese stock selection screen using a turnover range of 3% to 12%, at least one limit-up event within the previous 25 days, and large-order net flow above 0.05 on each of at least three consecutive days. Its example formula adds conditions including positive daily change, rising short-to-medium moving averages, and a specified valuation-like range. The accompanying Python example illustrates collecting market and financial data and filtering candidates, though its implementation includes additional conditions beyond the stated core screen.

The author cautions that large-order flow alone can mislead and should be considered alongside liquidity and other technical measures, such as volume and price change. The article suggests broader filtering but provides no backtest, sample period, or evidence of profitability. The screening thresholds are presented as selection rules rather than validated trading signals, and the examples do not establish how results would change with execution costs or different market conditions.

Key ideas

• The core screen combines a turnover band, a recent limit-up event, and persistent large-order net flow.
• The example formula adds price and moving-average filters beyond the core selection conditions.
• The author notes that flow measures should be interpreted in light of liquidity and other indicators.
• No backtest or performance evidence is provided to validate the screening rules.

Tags

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