Chinese Stock Screen Using Turnover, Large-Order Flow, and Price Movement

Summary

This stock-selection rule screens for shares with turnover between 3% and 12%, an absolute daily price range above 1%, and a positive product of daily percentage change and net large-order flow. The combination is intended to select actively traded stocks where price movement aligns with the sign of large-order activity. The document includes example indicator and Python implementations, though the conditions are not perfectly consistent across them: the prose specifies the product test, while the sample code also applies market and security filters and expresses the order-flow test differently.

The page offers a rationale rather than a backtest or measured evidence. It cautions that the screen focuses on market activity and can omit company fundamentals, select excessively volatile stocks, and over-rely on concentrated large-order flows. It suggests adding fundamental measures, volatility features such as Bollinger Bands, and an explicit order-flow threshold. No returns, transaction costs, holding period, or portfolio construction rules are provided, so the screen alone does not establish a complete or validated strategy.

Key ideas

• The screen combines a 3%–12% turnover range with a daily price move aligned in sign with large-order net flow.
• It also requires the stock’s daily amplitude to exceed 1%.
• The examples include code, but implementation details differ from the prose in some filters.
• The author warns that the screen omits fundamentals and may select overly volatile or narrowly supported stocks.
• Suggested refinements include fundamental measures, volatility features, and a defined order-flow threshold.

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