A-Share Stock Screen Using Turnover, Price Moves, and Large-Order Flow
Summary
The document outlines a Chinese A-share stock-selection screen that retains stocks with turnover rates between 3% and 12%, requires the product of the day's price change and net large-order flow to be positive, then ranks candidates by capital strength and selects the top N. It presents the approach as a technical screen intended to combine activity, price direction, and order-flow information. Example formula and Python implementations are included, though the displayed formula and prose do not align perfectly on all filters and ranking fields.
The author notes that the screen omits company fundamentals and industry context, leaving it exposed to macroeconomic, company-specific, and market risks. Suggested extensions include valuation, financial statement measures, industry information, market capitalization, sector analysis, and institutional research. No backtest results or performance evidence are provided, and the document cautions that the ranking measure has limitations. The rule is therefore a screening proposal, not demonstrated evidence of reliable returns.
Key ideas
- The screen filters stocks by a turnover range of 3% to 12% and a positive product of daily price change and large-order net flow.
- Candidates are ranked by a capital-strength measure and capped at a chosen number of stocks.
- The screen relies on technical and flow indicators and does not incorporate fundamentals or industry context.
- The document recommends combining valuation, financial, sector, and other market information to refine selection.
- No backtest evidence is provided, and the example implementations have inconsistencies in the stated filters and ranking inputs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.