Chinese Stock Screen Using Turnover, Order Flow, and Large-Order Ranking

Summary

This Chinese stock-selection example screens for shares with turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and a positive large-order net-volume ranking. The article treats turnover as a measure of activity, the volume ratio as a buying-pressure filter, and the large-order ranking as an indication of institutional interest. It includes a database-style query and a Python example that apply the filters to the latest observation for each stock.

The material presents a screening recipe, not a tested trading strategy: it provides no portfolio rules, holding period, transaction-cost assumptions, or return results. It cautions that the filters can omit attractive stocks, respond poorly to market swings, and rely on potentially inaccurate large-order data. It suggests combining additional data sources and technical indicators, but does not define or evaluate those additions. The example can help illustrate how to encode the stated conditions, while leaving validation and execution choices to the user.

Key ideas

• The screen combines turnover from 3% to 12% with an external-to-internal volume ratio above 1.3.
• It also requires a positive large-order net-volume ranking.
• The article offers both a query example and a Python implementation of the filters.
• The author warns that the screen may miss stocks and that large-order data may be inaccurate.
• No backtest or evidence of investment performance is supplied.

Tags

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