Chinese Stock Screening by Price Range, Turnover, and Capital Flow

Summary

This Chinese stock-selection note describes screening for shares with amplitude above 1, prior-day actual turnover between 3% and 28%, and capital strength ranked from high to low. Its illustrative code estimates capital flow over a ten-period window from price changes weighted by trading volume, then filters for flow that is not declining. The idea is to focus on shares with sizable price movement and active turnover and money flows.

The note acknowledges that the screen uses few technical conditions and may be sensitive to news and market sentiment. It suggests adding technical and fundamental measures, but provides no backtest results or evidence of predictive value. Its prose and examples also differ in how they express turnover and amplitude, so the formulas require validation against the intended definitions before being used in a systematic strategy.

Key ideas

• The screen combines a price-amplitude threshold with a prior-day turnover range.
• It ranks candidates by capital strength and illustrates a volume-weighted price-change measure.
• The author notes that market sentiment and news can make results uncertain.
• The note suggests adding technical and fundamental inputs but reports no performance evidence.
• The example formulas may not match the prose definitions exactly.

Tags

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