Chinese Stock Screen Using Turnover and Large-Order Flow

Summary

This proposed stock screen combines turnover with the sign of a price-change and large-order net-flow measure. Its description calls for turnover between 3% and 12%, a positive product of price change and net large-order flow, and a separate daily turnover range of 2% to 9%. The examples also impose a volume floor and describe ranking selected stocks by a weight derived from average turnover and volume relative to price.

The article says the added turnover condition is intended to constrain the candidates, but provides no backtest or return evidence. It cautions that the screen omits company size, industry, fundamentals, technical context, and broad market conditions, and may be overfit. There are inconsistencies between the prose and code: the formula uses a narrower price-change range, while the Python logic applies turnover conditions to different observations and expresses one turnover test with a percentage conversion. These definitions should be reconciled before implementation.

Key ideas

• The described screen combines turnover filters with the sign of price change multiplied by large-order net flow.
• The prose gives turnover ranges of 3% to 12% and 2% to 9% for separate conditions.
• The examples add a volume threshold and rank candidates using a turnover-and-volume weight.
• The article offers no performance evidence and warns about omitted factors and overfitting.
• The prose and code differ in their price-change and turnover definitions, so implementation requires clarification.

Tags

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