Chinese Stock Screen Combining Turnover, Price Direction, and Control Ratio

Summary

This post outlines a Chinese equity selection rule based on a daily turnover rate between 3% and 12%, a positive product of price change and large-order net flow, and a control-ratio condition above 21. Its stated rationale is to combine moderate trading activity with directional order-flow information and an indicator intended to reflect concentrated control of a stock. The post also supplies formula-style and Python examples that add implementation filters, including volume, price, buy-volume share, and a rising control ratio, then rank candidates.

The article offers no backtest, measured returns, or evidence that the control ratio predicts future performance. Its prose acknowledges that the screen omits company fundamentals and industry context, that simple filters may select weak candidates, and that the control measure can shift temporarily. It suggests combining the signal with other market or company indicators and tailoring use to conditions. The written headline rule and the longer code examples contain additional conditions, so the exact intended screen is not fully consistent across the post.

Key ideas

• The headline rule combines turnover between 3% and 12%, positive price-change times large-order net flow, and a control-ratio threshold above 21.
• The implementation examples add filters involving volume, price, buy-volume share, and changes in the control ratio.
• The post treats the control ratio as a proxy for concentrated holdings, not as a definitive measure.
• No performance results are reported, and the article warns that fundamentals, industry context, and market conditions are omitted.
• The prose and code examples do not describe exactly the same screening rule.

Tags

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