Chinese Stock Screen Using Turnover, Order Flow, and Daily Return

Summary

This proposed Chinese stock screen combines turnover, the ratio of outside to inside trading volume, and the day’s price change. The stated criteria select stocks with turnover from 3% to 12%, outside volume more than 1.3 times inside volume, and a daily return between minus 5% and 2.6%. The article presents these measures as indicators of liquidity, trading participation, volume-price behavior, and individual price performance.

It cautions that the permitted return range still exposes the selection to price volatility and possible screening errors. It suggests adding technical indicators and fundamental analysis for a broader evaluation. The sample implementations impose additional or inconsistent conditions, including a restriction to certain stock codes, so they do not exactly match the stated screen. No backtest results or return evidence are supplied. The rules should therefore be treated as a screening proposal, with unclear implementation details and no demonstrated performance.

Key ideas

• The screen uses turnover, outside-to-inside volume, and daily price change.
• Its stated criteria require turnover from 3% to 12%, a volume ratio above 1.3, and returns between minus 5% and 2.6%.
• The article identifies volatility and screening error as risks.
• It proposes adding technical and fundamental measures for broader analysis.
• The examples include extra or inconsistent conditions, and the document provides no performance results.

Tags

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