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

Summary

This document describes a Chinese equities screen using a daily turnover rate between 3% and 12%, a positive product of price change and large-order net flow, and return on equity above 15% in each of the prior five years. It presents the rule as a combination of trading activity, directional price and order-flow conditions, and a profitability filter. Reference implementations are included for a charting platform and Python; the Python example also ranks selected stocks using a volume- and turnover-based weight.

The author argues that a multi-year ROE requirement adds a fundamental dimension to an otherwise activity-focused screen, but provides no backtest, benchmark, or evidence of predictive value. Risks include market volatility and changes in company fundamentals that can make a selection stale. The document suggests adding valuation measures and combining technical and fundamental filters. It does not specify complete trade entries, exits, rebalancing, or portfolio risk rules, and its code examples use differing data fields and calculations that would need careful validation before use.

Key ideas

• The screen requires turnover between 3% and 12% and positive price-change times large-order net flow.
• It adds a five-year ROE threshold above 15% as a profitability filter.
• Example implementations include a ranking step based on turnover and volume in Python.
• The document provides no performance evidence and flags market and fundamental-change risks.
• Valuation measures and tighter risk controls are suggested, while full trading rules remain unspecified.

Tags

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