A Chinese Stock Screen Using Turnover, Order Flow, and Recent Highs

Summary

This document describes a Chinese equity screening rule that combines a turnover rate between 3% and 12%, outside volume more than 1.3 times inside volume, and a recent high matching the stock’s historical high. Its accompanying Python example adds a current-volume surge relative to the preceding observations, excludes the STAR Market, ranks candidates by a turnover-and-volume weight, and returns up to a chosen number of stocks. A separate SQL-style example expresses a related screen using minute data and normal trading-status filters.

The rationale is that stocks making highs may have upside potential, but the document offers no backtest, returns, or validation to support that claim. It warns that the rule relies heavily on price history and omits fundamentals and other technical factors; historical highs may be noisy. It suggests adding valuation or growth measures or using machine-learning methods, without testing those proposed improvements. The descriptions and implementations also differ in some conditions, so their outputs may not be identical.

Key ideas

• The core screen selects stocks with turnover between 3% and 12% and outside volume more than 1.3 times inside volume.
• It requires a recent high to match the historical high.
• The Python example also filters for a volume surge and excludes the STAR Market.
• The document provides no backtest evidence, and the rule omits fundamental inputs.
• The SQL-style and Python examples contain different conditions and may produce different selections.

Tags

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