Chinese Stock Screening with Turnover, Daily Gains, and Order Flow

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, a daily gain above 1% relative to their sector, and a ratio of external to internal trading volume above 1.3. It combines trading activity, short-term price strength, and a simple order-flow measure to identify active stocks. The document provides a corresponding indicator formula and a Python example that queries recent daily data and applies volume and price-change filters.

The author cautions that the rules focus on short-term price action and flow, and that the external-to-internal volume ratio may not reflect a stock’s underlying value. The Python example also differs from the stated screen: it tests changes in volume and swing instead of turnover and the external-to-internal ratio. No performance evidence or backtest results are provided, so the selection logic should be treated as a screening idea rather than a validated strategy.

Key ideas

• The screen requires turnover between 3% and 12%.
• It seeks daily gains above 1% compared with stocks in the same sector.
• It uses an external-to-internal trading volume ratio above 1.3 as a flow filter.
• The document warns that the rules omit fundamental analysis and rely on a simple flow measure.

Tags

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