A-Share Screening by Turnover, Order Flow, and Listing Region

Summary

This note outlines a Chinese stock screen using a turnover range of 3% to 12%, an outside-to-inside trading volume ratio above 1.3, and an exclusion for Beijing-listed shares. Its explanation treats the turnover range as a way to focus on stocks with trading activity and the volume ratio as a measure of buying-side activity. The Python example also applies market-capitalization and profitability conditions, and the charting formula includes related filters.

The criteria are not fully consistent across the description and examples: the prose centers on turnover, order flow, and region, while the code adds market capitalization and nonnegative profits; the formula expresses volume growth rather than the stated outside-to-inside ratio. The note offers no performance evidence or detailed rationale for the thresholds. It flags possible omission of growth companies and suggests adding fundamental and industry measures, but does not explain how to validate the screen.

Key ideas

• The stated screen uses turnover between 3% and 12%, an outside-to-inside volume ratio above 1.3, and excludes Beijing-listed stocks.
• The Python example adds market-capitalization and profitability filters.
• The charting formula does not directly match the described outside-to-inside volume ratio.
• No backtest results or evidence for the chosen thresholds are provided.
• The note suggests adding fundamental and industry measures to broaden company evaluation.

Tags

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