Chinese Stock Screen Using Turnover, Price-Flow Alignment, and Large-Order Inflows

Summary

This Chinese stock-selection approach combines a turnover-rate band with a same-day alignment condition between price change and an unusually large order-flow measure. It also requires that large-order net flow remain above a stated threshold for several consecutive days. The stated rationale is to favor shares with market activity and sustained buying interest, while the price-flow condition helps indicate whether the flow coincides with the day’s direction.

The article offers an illustrative screening implementation and suggests adding profitability, valuation, growth, and other capital-flow measures. It warns that flow signals alone can select companies with weak fundamentals and that persistent large-order readings also carry risk. No backtest, benchmark, transaction-cost analysis, or evidence of predictive performance is provided. The example implementation’s rolling calculation may not map exactly to the prose criteria, so users should verify the data definitions and logic before relying on its selections.

Key ideas

• The screen limits stocks to a specified turnover-rate range.
• It requires daily price change and large-order net flow to have a positive product.
• It also seeks several consecutive days of large-order net flow above a threshold.
• The article advises combining flow signals with fundamental and other capital-flow measures.
• It provides no backtest or evidence that the screening conditions predict returns.

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