Chinese Stock Screen Using Turnover, the 10-Day Average, and Large-Order Flow

Summary

This document presents a Chinese equity screen requiring turnover between 3% and 12%, an opening price within 5% of the 10-day average closing price, and large-order net flow above 0.05 for three consecutive sessions. It interprets persistent positive net flow as possible concentrated buying and combines that signal with moderate turnover and a price-location condition. Formula and Python examples show how the conditions can be applied to stock data, but the document supplies no performance statistics, sample period, or comparison against a benchmark.

The author notes that order-flow measures can lag and may conflict with industry or company fundamentals. Suggested refinements include adding balance-sheet measures, revenue and profit growth, historical price behavior, and more detailed categories for large-order flow. The screen does not specify entry timing, exits, position sizing, or transaction-cost assumptions, and the meaning and scaling of the order-flow threshold are not explained. Its rules should therefore be treated as a candidate filter rather than a validated trading strategy.

Key ideas

• The screen bounds turnover between 3% and 12% and places the open within 5% of the 10-day average close.
• It requires large-order net flow above 0.05 across three consecutive sessions.
• The examples demonstrate rule implementation but provide no reported backtest evidence.
• Order-flow lag and missing fundamental or industry context are stated limitations.
• The document leaves trade execution, exits, and risk sizing unspecified.

Tags

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