A Chinese Stock Screen Using Turnover, Order Flow, and Auction Activity

Summary

This stock-selection recipe screens for turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and auction activity meeting specified bounds. It also requires large and extra-large order buying volume to exceed a stated threshold. The post provides example formula conditions and Python-style selection logic, framing the filters as a way to combine liquidity, order-flow sentiment, and participation by larger buyers. It suggests adding profitability, earnings growth, and technical filters such as RSI or moving averages.

The document offers no historical test, benchmark, or measured evidence that the screen predicts returns. Its descriptions of auction movement and order-flow measures are not fully reconciled across the prose and formula examples, so implementation details should be checked against the relevant data definitions. The author also acknowledges that the rules omit company fundamentals and may select unstable candidates in extreme market conditions. The screen is a candidate-generation idea, not a demonstrated trading system.

Key ideas

• The screen combines a turnover band with an external-to-internal volume ratio threshold.
• It also filters on auction movement and large-order buying volume.
• The examples provide both formula-style conditions and Python selection logic.
• The post suggests adding fundamental and technical filters but provides no backtest evidence.
• The rules omit broader company fundamentals and may produce unstable selections in extreme markets.

Tags

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