A Chinese Stock Screen Combining Turnover, Order Flow, and Trend
Summary
This stock selection rule combines three daily filters: turnover between 3% and 12%, the product of daily price change and large-order net flow above zero, and the closing price above its five-day moving average. A further code and exchange filter narrows the selection to a subset of mainland China A shares. The article presents equivalents in screening syntax and Python, using the latest observation for each stock.
The rationale is to seek actively traded shares where price movement aligns with large-order flow and price remains above a short moving average. The article offers no backtest, portfolio construction method, transaction cost analysis, or performance evidence. It cautions that the screen omits company fundamentals, that the moving average condition may misread short-term fluctuations, and that outputs can vary by market regime. It suggests adding quality measures or allowing a tolerance around the moving average, but does not test those modifications. The screen is therefore a rule description rather than evidence of a profitable strategy.
Key ideas
- The screen selects stocks with turnover between 3% and 12%.
- It requires daily price change multiplied by large-order net flow to be positive.
- It also requires the closing price to exceed the five-day moving average.
- The described implementation limits results to a subset of mainland China A shares.
- The article warns that the screen omits fundamentals and provides no performance validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.