Chinese Stock Screening by Turnover, Float Value, and Large-Order Flow

Summary

This proposed Chinese equity screen selects stocks with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and a favorable large-order net-volume rank. The discussion frames turnover and float size as measures of activity and tradability, while the order-flow measure is intended to add a capital-flow signal. It includes a screening formula and a Python example that select securities meeting these criteria.

The document provides no backtest, return data, or comparison with a benchmark, so it does not establish that the screen is profitable. It warns that the method omits company fundamentals and that the large-order measure may not reflect actual flows reliably. There is also a material inconsistency: the prose calls for a favorable rank, while the examples select the lowest large-order net amount over a period. The code uses average turnover and float value, which may also differ from a point-in-time screening rule.

Key ideas

• The screen combines turnover, circulating market value, and a large-order net-volume measure.
• Its stated filters require turnover from 3% to 12% and circulating value from 5 billion to 10 billion yuan.
• The examples select the lowest large-order net amount in the chosen period, which conflicts with the description of a favorable rank.
• The document provides implementation examples but no performance test or evidence of trading returns.
• Fundamentals and the reliability of the reported order-flow measure are identified as limitations.

Tags

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