A Chinese Stock Screen Combining Turnover, Order Flow, and Trend Stage

Summary

This post describes a Chinese equity selection rule combining three filters: daily turnover between 3% and 12%, a positive product of daily price change and net large-order flow, and a condition intended to identify stocks at the start of a strong upward phase. It presents indicator logic and example implementations for screening stocks from market and price data. The rule is framed as a way to locate active shares with potential trend or market-interest support.

The post offers no backtest results or performance evidence. It cautions that the screen relies on technical analysis and omits company fundamentals, while selecting at an early upward-trend stage may expose a portfolio to sharp short-term price moves. It suggests adding fundamental measures, other technical indicators, and a follow-through check as possible refinements. Those suggestions are not tested in the document, and the described conditions alone do not specify portfolio construction, exits, transaction costs, or how to validate the signal out of sample.

Key ideas

• The screen combines a turnover band, price change multiplied by large-order net flow, and a trend-stage condition.
• The rule targets Chinese listed equities and is presented as a technical selection method.
• The document provides example screening logic but no backtest evidence.
• The authors note that the rule omits fundamentals and may select volatile stocks.
• Adding persistence checks or other indicators is suggested but not evaluated.

Tags

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