China A-Share Screening with Turnover,龙虎榜 Activity, and Order Flow

Summary

This proposed Chinese equity screen combines three filters: daily turnover between 3% and 12%, an appearance on the previous day’s 龙虎榜 (a list highlighting unusual trading activity), and external volume exceeding internal volume by a ratio above 1.3. The post frames the turnover band as a way to focus on active shares and the order-flow ratio as a sign of buying pressure. It gives formula and Python examples for implementing the conditions.

The author cautions that turnover and external-to-internal volume alone may select short-term popular stocks with weak fundamentals. Suggested refinements include adding measures such as profitability, valuation, or technical indicators. No backtest, sample, or return evidence is reported, and the stated screen is a selection rule rather than a fully specified trading system: it does not define entry timing, exits, sizing, or risk controls.

Key ideas

• The screen requires turnover from 3% to 12%, a prior-day 龙虎榜 appearance, and external volume more than 1.3 times internal volume.
• The post presents the order-flow ratio as a potential sign of increased buying interest.
• It warns that these activity measures can select popular stocks with weak fundamentals.
• Fundamental and technical filters are proposed as possible additions.
• No backtest results or complete trade management rules are supplied.

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