A Turnover and Order-Flow Screen for Limit-Up Stock Candidates

Summary

This Chinese-language strategy note outlines an equity screen using turnover between 3% and 12%, a positive product of the day’s price change and large-order net volume, and exclusion of ST-designated stocks. It also describes using data from ten days earlier and a five-step limit-up method to narrow candidates. The stated rationale is to combine trading activity and an order-flow proxy when looking for stocks that may reach the daily price limit.

The article supplies sample formulas and Python code, but these are not a verified implementation of every stated condition. The formula’s price-change range differs from the prose, the code uses a net-amount and volume calculation, and the ten-day and limit-up steps are not consistently represented. No backtest results or evaluation procedure are reported. The author notes that fundamentals are omitted and that older data may weaken selection quality, suggesting fundamental filters and additional short-term indicators as possible extensions.

Key ideas

• The proposed screen combines a turnover band, a price-change and large-order-flow condition, and exclusion of ST stocks.
• A five-step limit-up method using data from ten days earlier is also part of the stated selection logic.
• The article explains the screen through market activity and buying-flow proxies.
• Its sample formula and code differ in places from the prose description.
• No performance evidence is provided, and fundamental risks remain unaddressed.

Tags

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