A Chinese Stock Screen Using Turnover, Order Flow, and Moving Averages

Summary

The document describes a Chinese equity screening approach that combines a turnover-rate range with a ratio of aggressive buying volume to selling volume, alongside a prior-day control condition. Its example filters add a moving-average ordering, price relative to a longer average, and other flow-related conditions. The stated rationale is to favor active stocks showing signs of buying interest and institutional influence.

The author cautions that the screen may miss fundamentally attractive but less liquid shares, and that relying heavily on an inferred controlling-player signal can bias selections. The document recommends adding technical and fundamental checks, but gives no backtest, benchmark, or performance evidence to establish that the screen works. Its written rules and sample code also differ in some details, so implementation should be checked against the intended conditions before use.

Key ideas

• The screen combines turnover, an aggressive-buying-to-selling volume ratio, and a prior-day control condition.
• Example filters add moving-average relationships, price placement, and other flow measures.
• The stated risks include excluding less liquid companies and overreliance on inferred institutional control.
• No backtest or performance evidence is provided, and some sample implementation details differ from the written rules.

Tags

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