A Chinese Equity Screen Using Turnover, Trade Imbalance, and Momentum

Summary

The document describes a Chinese stock screen combining a turnover-rate range, an outside-to-inside trade-volume ratio above a threshold, and a positive but capped ten-day price gain. It also provides example implementations for a stock-code subset and explains the rationale as seeking liquid shares with recent positive performance. These conditions make the method a simple momentum-oriented screen rather than a complete portfolio strategy.

The post offers no backtest results or evidence that the screen predicts returns. Its formula examples are not fully consistent with the stated screen: the indicator formula uses volume relative to prior volume in place of the outside-to-inside ratio and does not show the turnover filter. The author notes that the screen may exclude shares that are currently weak but later recover, and suggests adding technical or fundamental measures. The examples should therefore be checked against the intended conditions before use.

Key ideas

• The screen filters for turnover within a specified band and an outside-to-inside trading volume ratio above a threshold.
• It requires a positive ten-day price change below a stated upper limit.
• The examples target stocks with codes beginning with a particular prefix.
• The posted indicator formula does not implement all the conditions described in the text.
• The document supplies no performance test for the screen.

Tags

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