Chinese A-Share Screening with Turnover, Order Flow, and Moving Averages

Summary

This Chinese A-share stock screen combines trading activity, a price and order-flow condition, and a moving-average trend filter. It selects stocks with turnover between 3% and 12%, a positive product of the day’s percentage change and net large-order volume, and a 20-day moving average above the 120-day average. The article also provides example implementations and suggests ranking candidates by a weight based on average turnover and volume relative to price.

The explanation frames the moving-average rule as a trend filter and the turnover and order-flow conditions as measures of activity and buying pressure. It offers no backtest, performance figures, or evidence that the filters predict returns. The author notes that the screen omits fundamentals and valuation, that moving averages can lag, and that the chosen rules may be overfit. Suggested refinements include testing other indicators and alternative moving-average periods; these are proposals rather than validated improvements.

Key ideas

• The screen requires turnover between 3% and 12%.
• It selects for a positive product of daily price change and net large-order volume.
• A 20-day moving average above the 120-day average serves as a trend filter.
• The article provides example selection code but reports no performance testing.
• The rules may lag market changes and omit fundamental and valuation factors.

Tags

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