A Stock Screen Using Turnover, Price Flow, and Rising Averages

Summary

This post describes a Chinese equity selection rule that combines a daily turnover range, a positive product of the day’s price change and large-order net flow, and a rising short-term moving average. The intended logic is to select stocks with active trading and buying pressure while also requiring a positive near-term price trend. Its examples use a five-day exponential average and provide both formula-style and Python-oriented implementations.

The post warns that moving-average conditions can be overfit and may generate misleading crossover signals in sideways markets. It suggests adding other technical or fundamental filters, including valuation and momentum indicators, as well as constraints such as market capitalization or share price. These are screening examples rather than a complete trading system: the post reports no backtest or live results, and the underlying definitions and scaling of net flow should be checked for consistency across data providers.

Key ideas

• The screen uses a turnover band to focus on stocks with meaningful trading activity.
• It pairs price change with large-order net flow to identify aligned directional pressure.
• A rising five-day exponential average adds a short-term trend filter.
• Moving averages can generate false signals in sideways markets and may be overfit.
• The proposed criteria are not supported by reported backtest or live performance evidence.

Tags

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