A Turnover and Order-Flow Screen for Chinese A-Shares

Summary

This stock-selection rule screens Chinese A-shares using current turnover, the sign of the product of daily price change and large-order net flow, and the prior day's actual turnover. The stated core conditions are current turnover between 3% and 12%, a positive price-change-by-net-flow product, and prior actual turnover between 3% and 28%. A reference implementation also includes volume expansion and limits the universe to Shanghai or Shenzhen codes beginning with zero, though these details are not fully aligned with the prose description.

The explanation frames turnover as an activity filter and the flow-price relationship as a way to identify market participation. It gives indicator and Python examples, but no backtest, performance figures, or empirical validation. The source cautions that the screen omits company fundamentals and that turnover definitions and market conditions can affect its reliability; it suggests adding quality measures such as profitability or valuation inputs.

Key ideas

• The core screen requires current turnover from 3% to 12% and prior actual turnover from 3% to 28%.
• It also requires the product of daily price change and large-order net flow to be positive.
• The reference code adds volume and market-universe filters that are not entirely consistent with the prose description.
• The document provides no performance evidence and notes that fundamental factors are omitted.

Tags

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