Chinese A-Share Screening with Turnover, K Value, and Order Flow

Summary

This stock screen selects Chinese A-shares with turnover between 3% and 12%, a K indicator below 20, and a ratio of external to internal trading volume above 1.3. The article presents the conditions as a way to combine a technical indicator and trading activity with a rough measure of buying pressure. It then suggests replacing the external-to-internal volume ratio with a volume ratio and adding growth and risk criteria.

The evidence is a proposed rule set and example indicator formula and Python code; no backtest, performance results, or validation are reported. The article acknowledges that the screen omits company fundamentals and that the order-flow ratio can be noisy. Its examples also differ in their implementation details, so the precise indicator definitions and data handling would need to be checked before use.

Key ideas

• The screen combines turnover from 3% to 12% with a K value below 20.
• It selects stocks whose external-to-internal trading volume ratio exceeds 1.3.
• The article proposes volume ratio as a less noisy alternative and recommends adding growth and risk measures.
• The strategy has no reported backtest and does not account adequately for company fundamentals.

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