Chinese Stock Momentum Screen Using Turnover and Large-Order Flow

Summary

This document describes a Chinese stock selection screen that combines turnover, price movement, large-order trading activity, and recent strength. The stated core conditions require turnover between 3% and 12%, a positive product of price change and large-order net quantity, and at least one daily gain of 10% or more during the preceding 25 trading days. The article also provides formula and Python examples with further filters, such as price, trading volume, and buy-side volume share; those implementations include additional conditions beyond the short summary of the screen.

The rationale is that recent sharp gains may help identify stronger stocks, while turnover and order-flow measures add activity and direction filters. No backtest results or performance evidence are supplied. The author cautions that a large one-day gain may not represent durable strength and that the simple rules remain sensitive to market conditions. Fundamental measures and other indicators are suggested as possible additions, but no validation of those refinements is shown.

Key ideas

• The core screen combines a turnover range, positive price-change and large-order net-flow product, and recent large daily gains.
• The stated lookback requires at least one gain of 10% or more within 25 trading days.
• The code examples add filters beyond the core written selection logic.
• The article provides no performance results and warns that the rules may be market-sensitive.

Tags

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