Chinese Stock Screening by Recent Position Growth and Turnover

Summary

The document describes a Chinese equity screening rule that selects stocks whose reported position growth for the current day exceeds 5% and whose actual turnover on the previous day falls between 3% and 28%. It interprets the first condition as a sign of stronger buying interest and the second as a filter for trading activity. The post suggests combining the screen with MACD and RSI, and adjusting turnover thresholds for different stock-size groups.

It warns that rising position measures and high turnover do not establish that a stock will rise; they can also reflect distribution or other flows. The accompanying Python example proposes calculating indicators from downloaded price and volume data, but does not demonstrate that its data fields correctly represent the named measures. No backtest results, execution rules, or evidence of predictive performance are provided, so the thresholds should be treated as an unvalidated screening idea.

Key ideas

• The screen requires current-day position growth above 5%.
• It filters for previous-day actual turnover between 3% and 28%.
• The author proposes adding MACD or RSI and tailoring turnover thresholds by company size.
• High turnover or increased buying activity does not guarantee positive returns.

Tags

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