Chinese Stock Screen Using Turnover, Large-Order Flow, and Limit-Up History
Summary
This note describes a Chinese equity screen combining current trading activity, price movement, order flow, and past limit-up events. It selects stocks with turnover between 3% and 12%, a positive product of the day’s price change and net large-order volume, and at least two limit-up days within the previous 500 days. The accompanying examples show how to express the conditions in a screening formula and Python workflow.
The rationale is to focus on actively traded stocks with supportive price and large-order signals, while using repeated limit-ups as a sign of prior momentum. The note warns that technical and limit-up filters may concentrate selections in recently popular names, which could perform poorly later. It suggests adding valuation or financial measures and other technical or fund-flow indicators. No backtest results or performance evidence are provided, and the examples use differing thresholds and calculations, so implementation details should be checked before use.
Key ideas
- The screen requires turnover between 3% and 12%.\nIt selects stocks when price change multiplied by net large-order volume is positive.\nIt requires at least two limit-up events over the prior 500 days.\nThe note cautions that technical signals may favor recent market favorites and suggests adding fundamental measures.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.