A-Share Screening with Turnover and Foreign-to-Local Trading Volume

Summary

This Chinese-language post describes a stock screen for mainland Chinese shares. It filters for turnover between 3% and 12%, excludes Beijing-listed stocks, and selects shares where external trading volume exceeds internal trading volume by a stated ratio of 1.3. The post frames the volume ratio as a possible sign of buying interest and lower selling pressure, then suggests combining the screen with technical indicators and fundamental measures such as revenue and profit.

The post provides example formula and Python snippets, but it does not report a backtest, performance results, or evidence that the screen predicts returns. It also cautions that the relationship between the volume ratio and broad market conditions may be unstable, and that turnover and volume alone do not capture a stock’s value. The Python example’s data-field choices and calculations are not explained, so users would need to verify that the implementation matches the stated screening rules and available data.

Key ideas

• The screen selects stocks with turnover from 3% to 12% and excludes Beijing-listed shares.
• It requires the external-to-internal trading volume ratio to exceed 1.3.
• The post interprets a higher ratio as a possible sign of buying interest, but gives no empirical validation.
• It recommends adding technical and fundamental measures to broaden the analysis.
• The example implementation should be checked against the stated rules and data definitions.

Tags

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