A-Share Screen Combining Turnover, Order-Flow Ratio, and a 250-Day Average

Summary

The document describes a stock-selection screen for Chinese equities using three conditions: turnover within a specified range, outside trading volume exceeding inside trading volume by a stated ratio, and the prior closing price above its 250-day moving average. The listed formula expresses these filters directly. A Python example adds further conditions, including a Shanghai stock-code restriction, and returns a limited list of selected stocks. The narrative frames turnover as a liquidity measure, the outside-to-inside volume ratio as an indication of trading pressure, and the moving average as a longer-term price trend filter.

The author notes that parameter selection is subjective and that a long moving average may respond slowly to changing conditions. Additional technical and fundamental measures are suggested as possible refinements, but no concrete combined model is tested. The document provides no backtest, portfolio construction method, transaction-cost analysis, or performance evidence. The prose and code also differ on whether turnover bounds are inclusive and on which observation is compared with the moving average, so implementations should settle those details before evaluation.

Key ideas

• The screen uses a turnover range, an outside-to-inside volume ratio, and a 250-day moving-average condition.
• The stated formula and Python example include additional implementation-specific filters.
• The author identifies subjective parameter choices and moving-average lag as potential weaknesses.
• The document offers no performance evidence or transaction-cost analysis.

Tags

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