Chinese Stock Screen Using Turnover, Order Flow, and a Rising Moving Average

Summary

This document presents a Chinese equity screening rule based on turnover between 3% and 12%, an outside-volume to inside-volume ratio above 1.3, and a rising 30-day moving average. The conditions are intended to combine liquidity, buying and selling activity, and price trend. The post includes example formula and Python implementations for selecting stocks, making the proposal more concrete than a purely conceptual description.

The author warns that indicator and threshold choices are subjective, may be overfit, can lag market changes, and may perform differently across market environments. The post suggests adding technical indicators such as MACD or RSI and incorporating company fundamentals, but it reports no backtest or realized results. Its code and prose also differ in some details, including strict versus inclusive turnover bounds and additional stock-code filters in the Python example, so an implementation should clarify which version is intended before evaluation.

Key ideas

• The screen requires turnover within a stated range, an outside-to-inside volume ratio above 1.3, and a rising 30-day moving average.
• The proposed rationale combines trading activity, liquidity, and price trend.
• The post provides both a formula example and a Python selection example.
• The author identifies overfitting, subjective parameter choices, and lag as risks.
• The document reports no empirical performance and contains implementation details that do not fully match across examples.

Tags

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