A Turnover and Order-Flow Screen with a Late-Session Price Cap

Summary

This Chinese equity selection rule filters for turnover between 3% and 12%, a positive product of the stock’s price change and super-large-order net volume, and a gain below 6% during the final five minutes before the close. The article presents the late-session cap as an added condition intended to refine the original turnover and order-flow screen. Its implementation examples also mention liquidity, market capitalization, and ranking by a score, though those additions do not all appear in the stated final rule.

The note cautions that the screen omits industry, company fundamentals, and broader technical context, and could be overfit or return too few candidates. It suggests adding indicators and fundamentals and adjusting parameters to improve robustness. It supplies formula and Python examples, but no backtest, return, or risk statistics. The code’s timing and data-field conventions should be reconciled with the written condition before relying on it, and the claimed potential to find strong stocks is not supported by results in the document.

Key ideas

• The main screen uses turnover from 3% to 12%, positive price-change times super-large-order net volume, and a late-session gain below 6%.
• The article describes the final-minute-range filter as an addition to an earlier selection rule.
• Its examples include extra liquidity and market-capitalization conditions beyond the stated final rule.
• The author warns that omitted fundamentals and industry context create overfitting and low-selection-count risks.
• No performance evidence is given, and the sample implementation needs consistency checks.

Tags

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