A Chinese Stock Screen Using Turnover, Block-Order Flow, and Consecutive Declines

Summary

This Chinese equity screen looks for stocks with turnover between 3% and 12%, a negative product of the daily price change and net super-large-order quantity, and a pattern described as three consecutive declining sessions. It uses turnover and large-order flow alongside recent price behavior to identify candidates. The note includes sample formula and Python selection logic, but those examples differ in how they express the decline sequence and the turnover or flow conditions, so implementation details require care.

The document does not provide a backtest or evidence of profitability. Its discussion says the rule omits company financials and fundamentals, making it risky as a standalone screen. It recommends supplementing the signals with company financial measures and industry analysis, while considering diversification. The selection conditions alone do not specify an entry, exit, or position-sizing plan.

Key ideas

• The screen restricts turnover to the 3%–12% range and combines daily price change with super-large-order net flow.
• It also requires a three-session decline pattern, though the sample implementations describe this condition differently.
• The note supplies example selection logic but no backtest or return evidence.
• It warns that the screen omits financial and fundamental information.
• It recommends adding company and industry analysis and considering diversification.

Tags

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