Chinese Stock Screening by Turnover, Moving Average, and Order Flow

Summary

This Chinese equities screening rule combines three filters: turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and a buy-side to sell-side volume ratio above 1.3. The article presents turnover as a measure of trading activity, the moving average comparison as a technical condition, and the volume ratio as a way to gauge order flow. It frames the screen as suited to active market conditions and short-term stock selection.

The article provides no backtest, trade examples, or performance statistics. Its formula and sample code do not clearly implement the stated buy-side to sell-side volume ratio; instead, they use volume-change conditions, so the executable examples may not match the described rule. The author notes that reliance on market activity can make selections less reliable when trading interest is weak, and suggests adding fundamental measures and improving holding-period and risk controls.

Key ideas

• The screen limits turnover to a stated band to focus on actively traded stocks.
• It requires the opening price to lie within 5% of the 10-day moving average.
• The stated rule adds a buy-side to sell-side volume ratio above 1.3.
• The provided formulas appear inconsistent with the stated order-flow condition.
• The article offers no performance evidence and warns that activity-based screening can be risky.

Tags

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