Chinese Stock Screening with Turnover and Large-Order Flow

Summary

This document describes a Chinese equity screen combining daily turnover, listing age, price movement, and large-order net volume. It selects stocks with turnover between 3% and 12%, listed in 2021, whose daily return multiplied by a large-order net-volume measure exceeds a threshold. The article includes indicator logic and a Python example that retrieves market data, applies the filters, and reports qualifying stocks.

The rationale is that price movement alongside large-order activity may help identify stocks with relevant trading interest. The document provides no backtest, performance figures, or evidence that the signal predicts future returns. It also warns that the screen omits fundamentals and should be considered alongside broader market conditions. The code and formulas may use different definitions or data fields for turnover and order flow, so implementation details require validation before practical use.

Key ideas

• The screen combines turnover between 3% and 12% with a listing-year condition and a price-move by large-order-flow threshold.
• The article presents both indicator logic and a data-based Python implementation.
• The proposed signal is motivated by a possible relationship between price changes, large-order activity, and later performance.
• The document gives no empirical validation and cautions that fundamentals and overall market conditions are omitted.

Tags

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