A-Share Screening by Turnover, Board Code, and Afternoon Large-Order Flow

Summary

This stock screen selects Shanghai-listed shares whose codes begin with 60, whose turnover rate is between 3% and 12%, and whose afternoon large-order buying is at least as strong as selling. The accompanying example checks turnover and large-order fields, filters out stocks near the daily price limits, and scans trading days to retain a recent qualifying observation for each share.

The author suggests that afternoon buying may help assess liquidity and market sentiment, but gives no backtest, performance figures, or evidence that the screen predicts returns. The rules omit company earnings and other fundamentals, and the text itself cautions that the simple conditions may not capture a stock’s overall prospects. It recommends adding fundamental and industry measures and considering price action and broader market conditions alongside order flow. The code is a reference implementation and its data fields and timing assumptions would need validation before use.

Key ideas

• The screen requires a 3% to 12% turnover rate and a stock code beginning with 60.
• It selects stocks with afternoon large-order buying at least equal to selling.
• The sample code also filters for price changes within stated limits and scans historical trading dates.
• The document provides no performance evidence and warns that company fundamentals are omitted.
• Further screening could incorporate earnings, industry trends, price behavior, and market context.

Tags

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