Chinese Stock Screen Combining Turnover, Order Flow, and Reversal Compression

Summary

This Chinese equity screen combines turnover between 3% and 12% with a positive product of price change and net large-order volume, then applies a reversal or range-compression condition. Its described selection logic treats the combined price-change and order-flow sign as a filter and compares the latest range with a recent broader range. The document supplies formula and Python examples, with the Python version adding liquidity, price, volume-surge, and ranking conditions before returning a capped list.

The implementation examples do not fully agree with the prose: the formula and Python code use distinct definitions and additional filters, so the strategy is not specified as one reproducible rule set. No historical returns or validation are reported. The author cautions that the screen omits fundamentals and industry context, and that reversal patterns can be misleading; additional company, sector, and technical measures are proposed as possible refinements.

Key ideas

• The stated screen combines a turnover band with a positive relationship between price change and net large-order volume.
• A reversal or range-compression condition is intended to filter the candidate stocks.
• The formula and Python examples add differing conditions, which makes the exact strategy ambiguous.
• The document provides no performance evidence and flags missing fundamentals and industry analysis.

Tags

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