A Chinese Stock Screen Combining Turnover, Order Flow, and Popularity

Summary

This proposed Chinese equity selection rule screens for stocks with turnover between 3% and 12%, then requires the product of the day’s percentage price change and net buying flow attributed to very large orders to be positive. Eligible stocks are ranked by a popularity or heat measure, and the top N are selected. The post also offers example implementations, including a Python version that calculates a ranking weight from turnover, volume, and closing price.

The author warns that market-wide risk and attention-driven moves can lead to poor selections, and suggests considering industry rotation and other indicators such as moving averages or KDJ. The post does not provide backtest evidence, define the heat measure consistently across its examples, or establish that the screen is robust. Its stated threshold and implementation details differ in places, so the rule should be specified and tested carefully before use.

Key ideas

• The screen constrains daily turnover to a 3%–12% range.
• It selects for a positive product of price change and very-large-order net flow.
• Eligible stocks are ranked by a popularity measure, with the top N retained.
• The post flags market risk and theme-driven moves as possible sources of error.
• The examples do not establish performance, and some implementation details are inconsistent.

Tags

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