Chinese Stock Screening by Turnover, Order Flow, and Price

Summary

This stock selection rule screens for shares with turnover between 3% and 12%, an external-to-internal volume ratio above 1.3, and a closing price below 12 yuan. The post frames turnover as a liquidity filter and the volume ratio as a sign of buying pressure. It also suggests checking valuation measures such as price-to-earnings and price-to-book ratios to refine the candidate list.

The article supplies example screening logic and a Python implementation, but no performance data or evidence that the filters predict returns. Its discussion of lower-priced stocks as potentially undervalued is an assertion rather than a demonstrated result: a low share price alone does not establish cheap valuation. The code uses strict turnover bounds while the query example includes the endpoints, a small implementation inconsistency. The author identifies market sentiment as a source of changing selections and uncertain outcomes.

Key ideas

• The screen selects stocks with turnover from 3% to 12%, an external-to-internal volume ratio above 1.3, and a closing price below 12 yuan.
• Turnover is used as a liquidity filter, while the volume ratio is treated as a signal of buying pressure.
• The article recommends reviewing valuation measures to further assess screened stocks.
• No backtest or return evidence is provided, and low share price does not by itself establish undervaluation.

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