A-Share Screen Combining Turnover, Order Flow, and Valuation

Summary

This proposed screen targets Shenzhen main-board stocks with turnover between 3% and 12%, positive product of the day’s price change and large-order net flow, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. The article gives sample formula and Python approaches, with the Python version ranking candidates by a weight based on average turnover and volume relative to closing price.

The author frames valuation filters as a way to favor reasonably valued candidates and notes that valuation judgments can be subjective and may constrain sector exposure. The examples do not report backtest results or establish that the combined filters predict returns. There is also a mismatch between the written turnover criterion and the shown formula, which instead specifies a daily price-change range. The suggested refinement is to quantify valuation more systematically, such as with PEG, but no tested alternative or portfolio risk rules are supplied.

Key ideas

• The proposed screen combines turnover, price change multiplied by large-order net flow, and valuation bounds.
• The target universe is Shenzhen main-board equities.
• The Python example ranks qualifying stocks using a weight derived from turnover, volume, and closing price.
• The displayed formula’s price-change condition differs from the written turnover condition.
• No performance tests or portfolio risk controls are reported.

Tags

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