A-Share Screening with Turnover, Order-Flow Imbalance, and Limit-Up History

Summary

This document describes an A-share stock screen combining current turnover, the ratio of buy-initiated to sell-initiated volume, and a history of limit-up moves. Its stated selection criteria are turnover between 3% and 12%, an external-to-internal volume ratio above 1.3, and at least two limit-up occurrences within 500 days. The post suggests using the screen to identify liquid, active stocks with signs of buying pressure, then adding fundamental and industry research before selecting investments.

The article includes a formula example and a Python example, but their details do not align perfectly with the prose: the formula expresses a price-change condition and a day filter, while the Python example applies additional current-price and date-span checks. The text offers no backtest, performance figures, or evidence that the filters predict future returns. It also cautions that the method may miss some stocks, may be unsuitable for newer listings, and should be supplemented with company and industry analysis. Treat the rules as a screening idea rather than a validated strategy.

Key ideas

• The screen combines a 3%–12% turnover range with an external-to-internal volume ratio above 1.3.
• It requires at least two limit-up events within a 500-day lookback.
• The article recommends adding fundamental and industry analysis to the screening process.
• The examples and prose differ in some implementation details, and no performance evidence is provided.

Tags

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