A-Share Stock Screen Using Turnover, Relative Gains, and Net Inflows
Summary
This note describes screening main-board Chinese stocks, excluding the STAR Market, for turnover between 3% and 12% and a daily gain above 1% relative to a comparison benchmark. Candidates are then ranked by daily net fund inflow, with the stated aim of identifying stocks receiving stronger buying interest. The article includes formula and code examples and suggests combining the daily flow measure with multi-day inflows and other technical indicators.
The document provides no backtest or evidence that the screen produces positive returns. It cautions that a single day's net flow may be noisy or misleading and that dependence on short-term flows can increase strategy volatility. The examples appear to use inconsistent benchmark comparisons and data-field definitions, so the relative-return test and flow calculation need careful checking before use. Results would also depend on the timing and quality of the underlying data.
Key ideas
- The screen filters by turnover, a daily gain relative to a comparison benchmark, and main-board eligibility.
- Eligible stocks are ranked by daily net fund inflow.
- A one-day flow measure can be noisy and may not represent a persistent trend.
- The examples have potential data and benchmark inconsistencies and provide no performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.