Chinese Stock Screening by Turnover, Large-Order Flow, and Prior-Day Volume

Summary

This Chinese A-share screening rule selects stocks with turnover between 3% and 12%, a positive product of the day’s price change and net large-order volume, and prior-day trading value above 60 million. The document presents these conditions as a way to focus on active stocks with evidence of market participation and buying or selling pressure.

It explains that the filters are intended to capture activity and trading interest, but provides no performance data or backtest results. The rule excludes fundamental measures, and the stated prior-day turnover threshold alone may not reliably identify investor attention. The article suggests adding profitability, valuation, growth, or further trading-volume measures before relying on the screen. Its formula examples also contain differences from the stated rule, so implementation details should be checked against the intended conditions.

Key ideas

• The screen requires turnover between 3% and 12%.\nIt combines the day’s price change with net large-order volume and requires a positive product.\nPrior-day trading value must exceed 60 million.\nThe article cautions that the screen omits fundamentals and offers no performance evidence.

Tags

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