Chinese Stock Screen Using Turnover and Large-Order Flow

Summary

This Chinese stock-selection example screens for shares with current turnover between 3% and 12%, a positive product of price change and net very-large-order flow, and prior-day turnover above 8%. The article frames the prior-day turnover condition as a replacement for an earlier near-close price-change filter, shifting attention toward trading activity. It also supplies example screening logic and a Python implementation that ranks qualifying stocks by a weight based on average turnover, average volume, and latest price.

The implementation adds conditions beyond the stated core screen, including bounds on prior-day turnover, minimum market capitalization and volume, and a top-N selection. The article cautions that activity-based screening can omit fundamentals such as industry, size, or financial condition, and suggests combining fundamental and technical measures. It reports no backtest or performance results, so the screen’s predictive value and the consistency between its described criteria and sample implementations are not established.

Key ideas

• The core screen combines current turnover, the sign of price change times large-order net flow, and high prior-day turnover.
• The stated current turnover range is 3% to 12%, and prior-day turnover must exceed 8%.
• The sample Python version adds liquidity, market-capitalization, and ranking conditions beyond the core description.
• The article warns that emphasizing trading activity can overlook company fundamentals and other selection risks.
• No backtest results are provided to establish whether the screen is profitable.

Tags

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