A-Share Screen Combining Turnover, Price Movement, and Large-Order Flow

Summary

This A-share selection proposal combines price range, turnover, and a price-change measure multiplied by net flow attributed to very large orders. The stated screen requires a range above one percent, turnover between two and nine percent, and a positive combined price-change and large-order-flow condition. The post’s indicator formula and Python illustration add further filters, including recent average returns, volume-based flow measures, and a nonpositive latest price change, so the implementation details do not map cleanly to the headline rule.

The author describes the approach as a way to consider trading activity and money flow, but supplies no backtest results, benchmark, or evidence of predictive value. The post notes that policy, market conditions, company differences, and news can affect outcomes. It recommends broader fundamental and technical analysis, alongside risk controls and position management, without specifying or validating them.

Key ideas

• The proposed selection rule uses price range, a bounded turnover rate, and a positive price-change times large-order-flow condition.
• The formula and Python example introduce additional filters that differ from the headline description.
• The document gives no performance test or evidence that large-order flow predicts returns.
• It identifies market, company, policy, and news conditions as sources of risk.

Tags

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