Chinese Stock Screen Using Turnover, Trading Flow, and Holder Ratios

Summary

This post describes a Chinese stock screen combining turnover between 3% and 12%, an outside-volume to inside-volume ratio above 1.3, and a holder-related ratio between 20% and 70%. It presents these conditions as a way to select liquid, actively traded shares while avoiding excessive concentration. The post also suggests adding industry and valuation measures, such as price-to-earnings, to broaden the screening criteria.

The stated risks are that the filters may exclude attractive stocks in concentrated industries and may perform differently as market conditions change. The article supplies a query-style formula and a Python example, but neither is accompanied by a backtest, comparison, or results. There is also a wording discrepancy: the heading says the trading-flow ratio should exceed 1, while the body and examples specify a threshold of 1.3. The holder-ratio field is not explained in detail, so its precise interpretation and data definition need verification before implementation.

Key ideas

• The proposed screen uses turnover, an outside-to-inside volume ratio, and a holder-related ratio.
• The body and examples specify a trading-flow ratio above 1.3, although the heading says above 1.
• The author presents the filters as a way to combine liquidity and trading activity with limits on concentration.
• Industry and valuation filters are suggested as possible additions.
• The post provides no performance evidence and leaves the holder-ratio definition unclear.

Tags

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