A Chinese Stock Screen Using Turnover and Recent Volume Growth

Summary

This post describes a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, listing dates in 2021, and a stated increase in position or volume share above 5% for the current day. The author interprets the latter condition as a possible sign of recent inflows and stronger investor interest. The article supplies example indicator and data-access code, but does not report a backtest, portfolio results, or evidence that the inflow interpretation predicts returns.

The author cautions that the screen may respond to short-term market conditions and does not assess company performance. Suggested refinements include adding fundamental measures such as valuation or net profit and adapting the threshold to market conditions. The rule is presented as a candidate filter rather than a validated trading strategy. The description also uses terminology that may not map cleanly across platforms: the written criterion concerns today’s position increase share, while the sample formula refers to volume change. That mismatch makes the precise signal definition uncertain.

Key ideas

• The screen combines a 3%–12% turnover range, a 2021 listing year, and a current-day increase-share threshold above 5%.
• The author treats the increase-share condition as a possible indication of incoming capital or investor interest.
• The post provides sample implementation references but gives no performance test or return evidence.
• The screen omits company fundamentals and may be sensitive to short-term market conditions.
• The written signal description and sample formula use different volume-related measures, so implementation details need clarification.

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