A-Share Screening with Turnover, Order Flow, and Recent Price Extremes

Summary

The proposed stock screen targets Chinese A-shares with turnover between 3% and 12%, a positive product of the day’s percentage change and net amount from very large orders, and a current price at a two-day extreme. The accompanying narrative characterizes the order-flow and price conditions as a way to identify stocks that may continue rising. It also acknowledges that technical filters alone omit industry and company fundamentals, and suggests adding valuation, financial statement, and sector information. The short lookback at a two-day extreme may also overfit.

The page includes formula and Python examples, but they do not fully match the stated screen. The examples omit the turnover condition, and the formula’s conditions allow either a two-day high or low, while the narrative emphasizes the high. No historical performance results or evaluation methodology are supplied. The screen is therefore a candidate selection rule, not demonstrated evidence of profitability; its order-flow thresholds and data definitions would need careful verification before use.

Key ideas

• The stated screen combines turnover, daily price change, large-order net flow, and a two-day price extreme.
• The narrative frames the conditions as a possible continuation signal.
• The provided implementations do not consistently include all stated conditions or directionality.
• The page recommends adding fundamental and industry data to address limits of technical-only screening.
• No 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.