Chinese Equity Screen for Seven Down Days and Order-Flow Conditions

Summary

This document describes a Chinese equity selection rule combining turnover between 3% and 12%, seven consecutive declining sessions, and a condition involving the product of daily percentage change and large-order net flow. The stated interpretation is to identify stocks in a persistent short-term decline while using order-flow data as an additional filter. Indicator and Python examples are provided, though the examples differ in some details from the plain-language rule, including the exact order-flow calculation and the seven-day condition.

The article offers a rationale based on short-term risk appetite but presents no backtest, performance measurements, or evidence that the signal identifies stable stocks. It cautions that the method ignores company fundamentals and may perform poorly during rebounds or broader market downturns. Suggested extensions include adding company and industry information and considering market conditions; no validation or risk-management procedure is specified.

Key ideas

• The screen combines a turnover range, a seven-session decline, and a price-change/order-flow condition.
• The examples use large-order net flow as an additional signal, but implementation details vary.
• The article does not provide evidence that the rule predicts returns or identifies stable stocks.
• Ignoring fundamentals and market regime can make the screen vulnerable to rebounds and wider downturns.

Tags

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