A-Share Screening with Turnover, Large-Order Flow, and Lower Lows
Summary
This document describes a simple daily stock screen combining a turnover-rate band, the sign of a price-change and large-order-flow product, and a comparison of consecutive daily lows. It selects stocks with turnover between 3% and 12%, a positive product of price change and net super-large-order volume, and a current low below the previous day's low. The post frames the low comparison as a rough way to assess price direction and includes example formula and Python implementations.
No backtest results or performance evidence are provided. The article cautions that the screen omits company fundamentals, can be affected by market sentiment, and may not reliably predict a trend from two daily lows. It suggests combining the screen with technical and fundamental measures and adapting risk controls to market conditions. The code examples differ in some implementation details, so users would need to verify that the data fields and conditions match the stated screen before relying on them.
Key ideas
- The screen requires daily turnover between 3% and 12%.
- It combines price change with net large-order volume and selects when their product is positive.
- It also requires the current day's low to be below the previous day's low.
- The article provides indicator and Python examples but no performance evaluation.
- It notes that the rules omit fundamentals and may be unreliable in changing market conditions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.