A-Share Screening with Turnover, Large-Order Flow, and Price Direction
Summary
This Chinese equity screen combines trading activity, price movement, large-order flow, and exchange-board eligibility. It selects stocks with turnover between 3% and 12%, excludes the STAR Market, and requires the product of the day’s price change and net amount attributed to very large orders to be positive. The formula examples also include additional price-range and trend-stage conditions, so the code references are not fully aligned with the prose summary of the rule.
The author describes the approach as technical and flow based, intended to focus on active stocks with supportive price and order-flow signals. The stated caveat is that it omits company fundamentals and industry context, leaving results exposed to company and macroeconomic risks. The article suggests adding valuation, financial-report, and industry data, and refining the market classification. It provides formula and Python examples, but no backtest, performance results, or evidence that the filters control risk effectively.
Key ideas
- The stated screen uses a 3% to 12% turnover range and excludes STAR Market stocks.\nIt requires price change multiplied by very-large-order net flow to be positive.\nThe example formulas add price-range conditions that are not included in the prose rule.\nThe author notes that the method omits fundamentals and industry information.\nNo backtest or performance evidence is presented.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.