China Mainboard Stock Screen Using Turnover, Float Value, and Order Flow

Summary

This note proposes a daily screen for mainboard stocks that combines a turnover range of 3% to 12%, circulating market value between 5 billion and 10 billion yuan, and an external-to-internal trade volume ratio above 1.3. Its rationale is to focus on stocks with some trading activity and apparent buying pressure, then identify the strongest ratios among eligible names. The post describes the final selection as the ten stocks with the highest ratio and includes example formula and Python references, though the accompanying examples do not clearly implement that top-ten rule in every detail.

The document cautions that the screen may chase flows, overlook company fundamentals, and misread order-flow measures that can reflect either buying or selling behavior depending on context. It suggests adding profitability and growth measures or technical indicators. No backtest, returns, or transaction-cost analysis is provided, and the post notes that data field names and market classifications depend on the data source. The conditions should therefore be treated as a screening proposal, not a tested standalone strategy.

Key ideas

• The proposed screen combines turnover, circulating market value, and an external-to-internal trade volume ratio.
• Eligible stocks are described as being ranked by the trade volume ratio, with ten selected.
• The example implementations may not fully express the stated top-ten selection rule.
• The author warns that flow chasing can overlook fundamentals and that order-flow ratios can be misleading.
• No performance testing or transaction-cost analysis is reported.

Tags

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