Chinese Stock Screen Using Range, Turnover, and Large Buy Orders
Summary
The proposed Chinese equity screen combines a daily price-range filter, a turnover band, and buy-side activity from large and extra-large orders during the auction. The stated conditions are an amplitude of at least 1, turnover above 2% and no more than 9%, and a combined large-order buying measure above 0.7 ten-thousand units. The rationale is to pair market activity measures with an indicator of buying pressure. The document also suggests adding technical and fundamental measures, considering broader market conditions, and controlling position size and exits.
The examples do not establish that the screen is profitable. The text itself cautions that it focuses on sentiment and flows, omits company fundamentals, and may suit short-term speculation more than long-term investing. There is also an apparent inconsistency: the stated threshold and the formula and sample Python condition do not align clearly, and the sample derives turnover from recent volume rather than a standard turnover-rate field. Data definitions and units would need to be checked before implementation; no backtest results are supplied.
Key ideas
- The screen combines price amplitude, a turnover range, and auction-period large and extra-large buy activity.
- Its rationale is to use trading activity and buying pressure as short-term selection signals.
- The document warns that the screen omits fundamentals and broader market context.
- It recommends combining other indicators and risk controls with the selection conditions.
- The stated threshold and example calculations appear inconsistent, and no performance evidence is given.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.