Chinese Stock Screen Using Turnover, Reversal Shape, and Prior-Day Fund Flow

Summary

This Chinese equities screen combines a daily turnover band of 3% to 12%, a candlestick reversal condition, and positive prior-day net flow attributed to major traders. Its indicator example represents the reversal condition with a ratio derived from the distance between the prior close and the day’s high or low, and its flow filter compares aggregated buy and sell amounts. The article also mentions screening for stocks with repeated limit-up moves and excluding special-treatment shares.

The post provides indicator and Python examples, but the implementation has limitations: the “major trader control” measure is not clearly defined, and the example’s rolling flow calculation and data joins may not reliably implement the stated prior-day condition. The authors acknowledge that the screen omits fundamental measures such as company size and profitability, and that flow estimates can be misclassified. No performance results or backtest evidence are presented, so the described conditions should be treated as a screening recipe rather than evidence of predictive returns.

Key ideas

• The screen combines turnover between 3% and 12% with a candlestick reversal measure and positive prior-day net money flow.
• The reversal filter uses the smaller of two normalized distances from the prior close to the daily range extremes.
• The example adds repeated limit-up activity and excludes special-treatment stocks.
• The post warns that the flow proxy is uncertain and that fundamental measures are absent.
• No performance results are given to establish whether the screen predicts 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.