A Chinese Equity Screen Using Turnover, Large-Order Flow, and the 10-Day Average

Summary

The article presents a stock-selection screen for Chinese equities. It seeks stocks with turnover between 3% and 12%, a positive product of price change and net large-order volume, and an opening price near the 10-day moving average. The accompanying code examples add implementation details, including a band around the moving average and ranking candidates by a score, with a limit on the number selected. The Python example also applies further liquidity, volume, and size filters, so its implementation is not an exact restatement of the headline rule.

The rationale is to combine trading activity, directional price movement, large-order flow, and a short-term price reference. The article warns that thresholds and technical indicators may be subjective or lagging, that strict filters can shrink the candidate pool, and that short-term signals may overlook longer-term business prospects. It suggests adding fundamental and market context or adjusting thresholds. No backtest results, benchmark comparison, transaction-cost analysis, or evidence of predictive value is provided, so the screen should be treated as a proposed selection rule rather than a validated strategy.

Key ideas

• The screen filters for turnover between 3% and 12% and positive price-change times net large-order flow.
• It requires the opening price to lie near the 10-day moving average.
• The examples add ranking and other liquidity, volume, and size conditions that extend the headline screen.
• The author identifies subjectivity, lagging signals, and a potentially narrow candidate pool as limitations.
• No backtest or evidence establishes that the screen predicts returns.

Tags

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