Chinese Stock Screen Using Turnover, Order Flow, and Three Down Days

Summary

This document describes a Chinese equity screening idea combining turnover between 3% and 12%, outside volume exceeding inside volume by a stated ratio of more than 1.3, and three consecutive down days. It frames the setup as a search for actively traded stocks that have recently weakened but may rebound. A SQL-style example expresses the turnover and price conditions, while a Python example groups stocks by industry and ranks qualifying names using a weight based on average turnover and volume relative to price.

The examples are not fully consistent: the Python version also requires current volume to exceed its recent average by a factor of three, while the SQL example omits that condition; the headline itself also gives a different order-flow threshold. No backtest or performance evidence is provided. The document cautions that price weakness can affect fundamentally sound companies and suggests adding industry and financial measures, but it does not define a complete portfolio, entry, exit, or risk-management process.

Key ideas

• The proposed screen combines moderate turnover with outside volume greater than inside volume and three consecutive down sessions.
• The SQL example applies the turnover, order-flow, and down-day conditions within an industry filter.
• The Python example adds a recent volume-spike condition and ranks candidates with a turnover-and-volume-based weight.
• The examples differ in their stated thresholds and conditions, so implementation requires resolving those inconsistencies.
• The document recommends adding industry and financial measures and warns that temporary price weakness may overlook long-term value.

Tags

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