A-Share Screening by Turnover, Order Flow, and Moving-Average Conditions

Summary

This A-share screening proposal combines a turnover range, a ratio of external to internal market orders above 1.3, and a condition involving at least five moving averages. The stated rationale is to find liquid stocks with buying interest and a stable short-term trend. The post includes indicator-formula and Python examples intended to express the selection logic.

No backtest, performance data, or other evidence is provided. The examples do not consistently implement the stated conditions: the formula compares a close-to-prior-close ratio with bounds that resemble returns rather than turnover, uses volume rather than the external-to-internal order ratio, and tests repeated comparisons of a five-day moving average. The Python version instead uses a turnover field and order-flow fields, then checks closes against the five-day average. The post cautions that fundamental information is absent and short-term moves can be unstable; it suggests adding fundamental and technical filters but does not evaluate them.

Key ideas

• The stated screen requires turnover between 3% and 12%, an external-to-internal order ratio above 1.3, and a moving-average condition.
• The rationale combines trading activity, order flow, and short-term trend stability.
• The indicator formula and Python example express materially different conditions from each other and from the written rule.
• The article supplies no backtest or performance evidence for the selection logic.
• It notes the omission of fundamentals and the possibility that short-term price movements may be unstable.

Tags

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