Chinese Stock Screening by Turnover, Order Flow, and New Lows

Summary

This note describes a Chinese equity screen combining turnover, the ratio of buy-initiated to sell-initiated trading volume, and a recent lower low. It selects stocks with turnover between 3% and 12%, an outside-to-inside volume ratio above 1.3, and a current low below the previous session’s low. The article provides formula and Python examples for applying these conditions.

The author frames the screen as a way to consider liquidity and short-term price movement, while suggesting that a decline toward a recent low may offer an entry point. No backtest results or performance evidence are provided. The note cautions that the screen omits company fundamentals and that short-term price swings can produce unstable selections. It suggests adding fundamental and technical filters, such as moving averages or RSI, but does not evaluate whether those changes improve results. The formula examples also appear inconsistent with the stated turnover and order-flow rules, so implementation details should be checked before use.

Key ideas

• The screen combines turnover between 3% and 12% with an outside-to-inside volume ratio above 1.3.
• It requires the current session’s low to fall below the previous session’s low.
• The article provides formula and Python examples but reports no backtest evidence.
• It warns that the screen omits fundamentals and may select unstable stocks during sharp price moves.

Tags

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