Chinese Stock Screening by Turnover, Order Flow, and Market Capitalization

Summary

This Chinese A-share screening example selects stocks using three conditions: turnover between 3% and 12%, traded volume on the buy side relative to sell-side volume above 1.3, and floating market capitalization above 10 billion yuan. The article gives equivalent screening logic in a query-style formula and a Python example that evaluates each stock’s latest observations.

The author’s rationale is to combine trading activity, an order-flow proxy, and company size, while noting that restrictive thresholds can leave few candidates and exclude other potentially valuable stocks. The suggested refinements are to relax the size cutoff or add industry and valuation criteria. No backtest, transaction costs, holding period, execution rules, or evidence of returns are provided, so this is a screening recipe rather than a tested trading strategy. The volume ratio and thresholds should also be checked against the data definitions and market conventions of the platform used.

Key ideas

• The screen requires turnover within a specified range, a buy-side to sell-side volume ratio above a threshold, and a minimum floating market value.
• The example supplies both query-style and Python implementations based on recent stock data.
• The stated rationale combines liquidity, trading activity, and company size.
• The document warns that tight filters may yield few stocks and exclude candidates.
• It provides no backtest or performance evidence for the selection rules.

Tags

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