A-Share Stock Screening with Turnover, Order-Flow Imbalance, and Position Growth

Summary

This post presents a China equity screening rule combining a turnover-rate band of 3% to 12%, outside volume greater than 1.3 times inside volume, and a rise of more than 5% in the stated close-position ratio. Its example formulas add a minimum volume condition and describe ranking selected stocks by turnover; the Python example also compares recent volume with its average over prior sessions and ranks candidates using a volume- and turnover-based weight. These implementation details do not align perfectly with the prose rule, so the precise screen depends on which version is followed.

The author frames the turnover band as a way to account for liquidity and trading costs, and the order-flow and position-growth conditions as signs of recent buying interest. The post cautions that the screen emphasizes short-term activity, can select temporary hot stocks, and omits company fundamentals and longer-term trends. It suggests adding valuation or profitability measures and combining technical signals. No backtest results or evidence of live performance are provided.

Key ideas

• The stated screen selects stocks with turnover between 3% and 12%.
• It requires outside volume to exceed inside volume by a specified ratio and position growth to clear a threshold.
• The example implementations add conditions and ranking details that differ from the prose description.
• The author warns that short-term activity signals may select temporary hotspots and omit fundamentals.
• The post provides no reported backtest or live trading evidence.

Tags

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