A-Share Screening with Turnover, Price Change, and Large-Order Flows

Summary

This stock-selection recipe filters for shares with turnover between 3% and 12%, a positive product of the day’s percentage price change and a measure of super-large-order net volume, and afternoon large-order net inflow. It presents these conditions as a way to combine trading activity, price movement, and capital-flow signals. Formula and Python examples are included as implementation references, though their field definitions and expressions are not fully reconciled in the text.

The article acknowledges that the screen does not comprehensively assess company fundamentals and that trading activity may be manipulated, potentially biasing selections. It suggests adding valuation and earnings-quality measures, as well as flow and industry context. No backtest, benchmark, holding period, execution assumptions, or realized results are reported, so the rules should be treated as a screening hypothesis rather than evidence of an effective trading strategy.

Key ideas

• The screen requires turnover to fall between 3% and 12%.
• It selects for a positive product of daily price change and super-large-order net volume.
• An afternoon large-order net inflow condition is also part of the stated selection logic.
• The article warns that fundamentals are not comprehensively assessed and that flows may be manipulated.
• It reports no backtest or trading results and suggests adding valuation, earnings quality, and market context.

Tags

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