A-Share Screen Combining Turnover, Large-Order Flow, and Intraday Drawdown

Summary

This A-share screening rule selects stocks with turnover between 3% and 12%, a positive product of the day’s price change and super-large-order net flow, and an intraday low between 4% and 5% below the previous close. The stated interpretation is that turnover indicates activity, the price-change and order-flow combination reflects market energy and fund flows, and the drawdown condition identifies stocks that have fallen within a specified band. The document includes example formula and Python-like implementations, though their variable definitions and scaling are not fully explained.

The author notes that the screen does not comprehensively assess fundamentals, and an intraday decline within the chosen band does not guarantee low risk. The narrow conditions may also exclude other candidates. Suggested improvements include adding valuation, profitability, and growth measures or broadening coverage. No historical test, evidence of returns, or treatment of transaction costs is presented, so the rule remains an unvalidated selection concept.

Key ideas

• The screen combines a 3% to 12% turnover range with a positive relationship between daily price change and large-order net flow.
• It restricts the day’s low to a band 4% to 5% below the prior close.
• The document cautions that this drawdown band does not establish that downside risk is small.
• Fundamental filters and broader coverage are proposed, but no backtest or performance evidence is supplied.

Tags

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