A Chinese Stock Screen Using Turnover and Buy-Sell Volume Imbalance

Summary

This post describes a Chinese equity selection rule combining a turnover range with an imbalance between externally classified buy and sell volume. It specifies turnover between 3% and 12%, an outside-to-inside volume ratio above 1.3, and an additional filter based on company or industry characteristics. The post gives example formula and Python implementations that apply the conditions to the latest available observation for each stock.

The rationale offered is that turnover represents liquidity and the volume ratio may indicate buying pressure, while the company-characteristic filter narrows the universe. The author warns that market sentiment, industry changes, and policy shifts can affect results, and suggests refining the company filter with additional indicators. No backtest, return data, benchmark comparison, or evidence that the thresholds improve performance is provided. The description also varies slightly between the headline and strategy text, so the stated threshold of 1.3 is the one used in the detailed rule and examples.

Key ideas

• The screen requires turnover from 3% through 12% and an outside-to-inside volume ratio greater than 1.3.
• It adds a filter based on company or industry characteristics.
• The post provides example implementations that check each stock's latest data point.
• The author identifies sentiment, industry shifts, and policy changes as possible sources of risk.
• No performance tests or evidence supporting the chosen thresholds are reported.

Tags

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