A-Share Screening with Turnover, Large-Order Flow, and Institutional Activity

Summary

This stock selection rule screens A-shares using four conditions: turnover between 3% and 12%, the product of daily percentage change and super-large-order net flow above zero, positive institutional activity, and volume expansion. A reference formula adds a market and code filter for a subset of Shanghai and Shenzhen listings. The accompanying Python example sorts each stock’s records by time and evaluates the latest row, using turnover, price change, net amount relative to volume, institutional activity, and a code prefix.

The post presents the method as a way to combine trading activity, price direction, large-order flows, and institutional positioning. It supplies formulas and code references but no backtest, sample period, benchmark, or measured returns. Its own caveats are that it omits company fundamentals and that institutional activity may be subjective or uncertain. The code and screening description also express the flow and volume conditions differently, so an implementation should verify definitions and units before relying on the signal.

Key ideas

• The screen requires turnover between 3% and 12% and positive institutional activity.
• It combines daily price change with large-order net flow and requires their product to be positive.
• The reference implementation adds a volume expansion condition and a Shanghai or Shenzhen code filter.
• The post provides no backtest evidence and flags missing fundamentals and uncertainty in institutional activity.
• The formula and Python example differ in how they scale net flow against volume.

Tags

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