Chinese Stock Screening by Turnover and External-to-Internal Volume

Summary

This Chinese stock screen selects shares with current turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and prior-day turnover above 8%. The accompanying explanation presents turnover and the balance of trades classified as external versus internal as measures of activity and market demand. A SQL-style example adds further filters, including volume ratio, order-flow calculations, time, and eligible stock codes; the Python illustration expresses the three principal thresholds directly.

The document provides no backtest, returns, or evidence that the flow measures predict subsequent performance. Its risk discussion says strict criteria may yield few selections, overlook other candidates, and remain vulnerable to market fluctuations. It suggests loosening the conditions and considering industry or valuation information, but does not test those changes. The examples also contain several additional filters beyond the stated core rule, so their results may not correspond to the headline screen alone.

Key ideas

• The core screen requires current turnover from 3% to 12% and prior-day turnover above 8%.
• It also requires external trading volume to exceed internal trading volume by a ratio of 1.3.
• The SQL example includes extra order-flow, volume, timing, and stock-universe conditions.
• No performance results or validation are supplied.
• The source warns that strict filters may produce few picks and miss other candidates.

Tags

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