A Chinese Stock Screen Combining Turnover, Beverage Industry, and Large-Order Flow

Summary

This note describes a China A-share screen that combines turnover between 3% and 12%, beverage and alcohol-related industry classification, and a large-order net-flow ranking. Its rationale is to favor actively traded sector stocks receiving market attention. The post also gives example indicator logic and a Python outline that filters industry and turnover, calculates a large-order flow measure, then ranks candidates.

The author warns that order-flow rankings can lag and may select stocks after they have risen substantially. The sample code adds a low share-price filter and ranks a limited set of candidates, but the document supplies no backtest or performance evidence. It also notes that low-priced stocks may be easier to manipulate. Suggested refinements include fundamental, financial-quality, industry, and technical measures; these are proposals rather than tested improvements.

Key ideas

• The screen combines a 3%–12% turnover range with beverage and alcohol industry membership.
• It ranks candidates using a large-order net-flow measure as a proxy for capital attention.
• The example implementation adds a low-price filter and sorts a limited group by the flow measure.
• Order-flow data may lag and can identify stocks that have already reached elevated prices.
• The post provides no performance validation and suggests adding fundamental and risk controls.

Tags

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