A-Share Screen Using Turnover, Large-Order Flow, and Metaverse Exposure

Summary

The strategy selects Chinese stocks with turnover between three and twelve percent when the product of the day’s price change and net large-order flow is positive. It also focuses on companies associated with the metaverse theme. The document explains this product as a way to connect large-order activity with price direction and includes example screening logic using turnover, price changes, net-flow data, and concept or industry labels.

The author warns that the selection depends on market themes and does not account for company fundamentals. Metaverse-related stocks are described as a developing area with substantial risk, and deciding which companies belong in the theme may involve subjective judgment. Suggested refinements include adding fundamental measures, setting a specific large-order-flow threshold, and analyzing capital flows more carefully. The document supplies no backtest or performance evidence, and its formula and example code express the flow condition differently, so implementations should check that the chosen data and sign conventions reflect the intended rule.

Key ideas

• The screen requires turnover between three and twelve percent and a positive product of price change and large-order net flow.
• It additionally targets stocks classified as part of the metaverse theme.
• The author identifies theme dependence, company risk, and subjective classification as limitations.
• The examples provide screening logic but no backtest evidence, and the flow calculations should be checked for consistency.

Tags

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