Chinese Stock Screen Combining Turnover, Large-Order Flow, and DIF

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, a positive product of price change and net very-large-order flow, and a five-day price deviation labeled DIF below 20. The accompanying explanation frames the flow condition as a directional filter and the DIF cutoff as a way to constrain the stock’s position relative to its moving average. The document also includes sample formula and Python references, though their conditions are not fully consistent with the stated selection logic.

The author notes that the screen omits company fundamentals and industry context and may select weak prospects. Suggested refinements include valuation and fundamental measures and additional technical indicators. No backtest results or evidence of predictive performance are supplied, so the conditions are best understood as a screening heuristic. The turnover and price-flow rules may also behave differently across market regimes and data conventions.

Key ideas

• The stated screen requires turnover from 3% to 12%, positive price-change times large-order net flow, and DIF below 20.
• DIF is described through the deviation of price from a five-day moving average.
• The document acknowledges that the filter omits fundamental and industry information.
• The example implementations include conditions beyond the stated screen and are not entirely consistent with it.
• No performance results are provided to validate the selection logic.

Tags

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