Chinese Stock Screening by Turnover, Amplitude, and Order-Flow Imbalance

Summary

This proposed Chinese stock screen selects shares with turnover between 3% and 12%, amplitude above 1%, and outside trading volume more than 1.3 times inside volume. The rationale is to combine a trading-activity range with price movement and an order-flow imbalance that may reflect buying interest. The document includes a query-style expression and sample Python logic; the sample also adds a volume surge filter and ranks candidates using a weight based on average turnover and volume relative to price.

The text advises treating the filters as one part of a broader process, with attention to liquidity, fundamentals, and sector trends. It notes that market liquidity or funding conditions can make trading difficult, and suggests additional indicators and parameter tuning. The stated screening thresholds and example code are not accompanied by a backtest, execution analysis, or evidence that the criteria predict returns. The prose and code also differ in some details, so the screen's precise implementation is not fully consistent.

Key ideas

• The stated screen requires turnover from 3% to 12%, amplitude above 1%, and outside-to-inside volume above 1.3.
• The proposed rationale combines activity, price movement, and an order-flow measure.
• The sample implementation adds a recent volume surge condition and ranks candidates with a separate weight.
• The document advises considering liquidity, fundamentals, sector trends, and other indicators.
• No empirical performance evidence is provided, and the prose and sample code are not fully aligned.

Tags

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