A-Share Screening with Turnover, Order-Flow Ratio, and Candle Shape

Summary

This Chinese equity screening idea selects stocks with turnover between 3% and 12%, an external-to-internal traded volume ratio above 1.3, and a candle shape described as a rounded arc. Its example formula operationalizes the shape using the high, low, and close: the daily range must exceed 2% of the close, and the ratio of the distances from the high and low to the close must fall within a specified band. The document also includes a Python example for filtering turnover and candle geometry, though that snippet does not implement every stated selection condition.

The authors describe the filters as a way to combine trading activity, buying pressure, and price shape. They warn that the pattern may exclude winners or select weak performers and suggest adding trend or sentiment measures. No backtest, return data, or validation is provided, and the text’s differing descriptions of volume ratio and the code’s partial implementation limit reproducibility.

Key ideas

• The screen combines turnover, external-to-internal volume ratio, and a candle-shape condition.
• The example formula translates the shape filter into range and close-location constraints.
• The supplied Python example does not implement all conditions stated in the strategy description.
• The document identifies missed opportunities and weak selections as possible outcomes.
• No historical performance evidence or validation is reported.

Tags

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