A-Share Screening by Turnover and Relative Money-Flow Strength

Summary

This note describes a stock-selection screen for Chinese equities that keeps stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and ranks candidates by a money-flow strength measure. Its formula reference relates the strength measure to a prior value, while the Python sketch uses small-order buy and sell amounts to calculate a ratio and then sorts by that ratio.

The author recommends judging the money-flow signal alongside broad market direction, industry themes, and fundamental data. The stated risks are that flows can change and a screen based on them may become stale, and that ignoring the overall market can encourage one-sided exposure. The material offers no backtest or return evidence. The example also has implementation ambiguities, including inconsistent stock-universe descriptions and a ranking step that does not clearly implement the stated descending selection. Treat it as a screening concept that needs precise definitions and validation.

Key ideas

• The screen applies a 3% to 12% turnover range and excludes Beijing-listed stocks.
• Candidates are evaluated using a measure based on buying and selling money flows.
• The note advises combining flow signals with market direction, industry themes, and fundamentals.
• Money-flow conditions can change, making a previously useful screen stale.
• The example does not provide backtest results and leaves parts of the ranking logic unclear.

Tags

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