A-Share Screen Combining Turnover, Large-Order Flow, and Market Value

Summary

This A-share stock screen looks for turnover between 3% and 12%, a positive product of price change and net large-order volume, and circulating market value above 10 billion yuan. The article says the market-value floor is intended to screen out smaller companies. Its examples also include minimum trading-volume conditions and, in the Python version, rank qualifying stocks by a weight based on average turnover and volume relative to price.

The document identifies several limitations: it omits industry, fundamentals, and technical context, may be vulnerable to overfitting, and could perform poorly in a weak overall market. It suggests adding indicators and fundamental measures, then validating and tuning the parameters. The article includes formula and Python examples, but reports no backtest or return evidence. The formula and code describe related screens with some differences in timing and implementation, so they should be reconciled before use.

Key ideas

• The screen uses turnover between 3% and 12%, positive price-change times large-order net flow, and circulating market value above 10 billion yuan.
• The examples add a trading-volume floor, and the Python version ranks selected stocks using turnover and volume information.
• The author warns that relying on a few factors can omit important market, industry, and company information and may overfit.
• No performance evidence is reported, and differences between the formula and Python examples require checking.

Tags

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