Chinese Stock Screen Using Turnover and Large-Order Flow

Summary

This Chinese-language post describes an equity screen combining turnover, price change, and large-order net flow. It selects stocks with turnover between 3% and 12%, requires price change multiplied by very-large-order net flow to be positive, and ranks candidates by large-order net amount. The code examples add conditions for price movement, trading volume, a top-30 flow rank, and a final selection of up to ten names weighted by average turnover and volume relative to price.

The rationale is that turnover and order-flow measures may help identify active names and market interest. The post presents implementation examples but reports no backtest, return series, or comparative evidence. It acknowledges that the screen omits other technical and fundamental factors, that indicator relevance may change, and that parameter tuning can create overfitting risk. Its suggested enhancements include adding valuation measures and validating parameter choices.

Key ideas

• The screen filters stocks by turnover, positive price-change and large-order-flow product, and large-order ranking.
• The examples add price-move and volume conditions and select a limited number of candidates.
• The proposed rationale is to capture active stocks and possible institutional or market interest.
• The post supplies implementation examples but no performance evidence.
• It warns that omitted factors and parameter overfitting may limit the strategy.

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