Chinese Stock Screen Using Turnover, Order Flow, and Moving Averages

Summary

The screen selects Chinese equities using three conditions: turnover between 3% and 12%, outside volume more than 1.3 times inside volume, and price above the five-day moving average. The accompanying code adds a trend condition requiring the five-day average to exceed the ten-day average and filters for stock codes beginning with 60. The article interprets turnover and the outside-to-inside volume ratio as measures of trading activity, while price and moving-average conditions represent short-term direction.

The document offers selection rules and implementation examples, but no backtest, benchmark, or evidence of profitability. It warns that a focus on current trading activity and price can omit company fundamentals, and that moving-average selections may be exposed to market swings. It suggests supplementing the screen with market and fundamental factors and adapting moving-average parameters to conditions. The written final rule does not specify every code-level restriction, so implementations may differ.

Key ideas

• The screen combines a turnover band with an outside-to-inside volume ratio above 1.3.
• It requires price to be above the five-day moving average, with the code also requiring that average to exceed the ten-day average.
• The code further filters for stock codes beginning with 60.
• The article cautions that technical and activity measures omit fundamentals and can be vulnerable to market volatility.
• No performance testing is presented.

Tags

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