Chinese Equity Screen Using Turnover, Order Flow, and Revenue Growth

Summary

This Chinese equity screening strategy combines trading activity with a simple revenue-growth condition. It selects stocks with turnover between 3% and 12%, an outside-to-inside trading volume ratio above 1.3, and 2021 revenue more than 1.1 times 2018 revenue. The article also presents a Python-style ranking that favors higher values of a score based on average turnover and volume relative to price, and excludes one market segment.

The stated rationale is that revenue growth may indicate stronger companies, while turnover and order flow help describe trading interest. The note cautions that revenue growth alone omits other fundamental and technical factors and may not predict future performance; it suggests combining additional valuation or income measures. It supplies sample selection logic but no backtest results, transaction-cost analysis, or evidence that the thresholds are robust. The SQL example and Python sample also differ in some implementation details, so the screen would need careful validation before use.

Key ideas

• The screen combines a 3% to 12% turnover band with an outside-to-inside volume ratio above 1.3.
• It requires 2021 revenue to exceed 2018 revenue by a factor greater than 1.1.
• The sample implementation ranks candidates using a score involving mean turnover and volume relative to price.
• The article acknowledges that revenue growth omits other business and market factors.
• No backtest or robustness evidence is supplied, and the examples contain differing implementation details.

Tags

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