A-Share Screen Using Turnover, Order Flow, Volume, and the 250-Day Average

Summary

This Chinese-language article outlines an A-share stock screen combining turnover, daily price change, large-order net flow, trading volume, and a long-term price trend condition. It selects stocks with turnover between 3% and 12%, a positive product of daily change and large-order net amount, volume rate of at least one, and the prior close above its 250-day moving average. The formula reference also restricts the universe to specified Shanghai or Shenzhen codes beginning with 000.

The article frames turnover as an activity filter and the order-flow condition as a measure of market force, with the moving average intended to identify an upward trend. It supplies formula and Python-style examples, but does not report a backtest or returns. It warns that fundamentals are omitted, moving averages lag, and results can be uncertain in volatile markets; it suggests adding quality measures or other indicators. The Python example's listed conditions do not visibly include every formula condition, so implementations should be checked against the intended screen.

Key ideas

• The stated screen uses a turnover range of 3% to 12% and requires volume rate of at least one.
• It requires daily price change multiplied by large-order net flow to be positive.
• The prior close must exceed the 250-day moving average, with a specified A-share code filter in the formula reference.
• The article identifies lag, omitted company fundamentals, and volatile-market uncertainty as limitations.
• The formula and Python examples may differ in the conditions they apply.

Tags

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