Chinese Stock Screening with Turnover, Large-Order Flow, and a Weekly Trend Cross

Summary

The core screen selects Chinese stocks with turnover between 3% and 12%, a positive product of daily price change and very-large-order net flow, and a weekly price cross above the 30-week moving average. This combines a turnover range, a directional flow condition, and a longer-term trend signal. The article’s formula and Python example add further filters, including bounds on daily return, auction return, trading volume, circulating market capitalization, and eligible stock codes. These implementation details are more restrictive than the concise description of the main rule.

The document explains that the weekly cross emphasizes trend, but warns that the screen gives limited weight to fundamentals and can generate false signals. It suggests incorporating company and market measures and relaxing technical thresholds to improve robustness. No backtest or return evidence is supplied, and the sample implementation assumes precomputed indicators and data fields. The selection rule is a research starting point; its added filters and data definitions should be reconciled and tested before use.

Key ideas

• The main rule combines turnover from 3% to 12%, positive price-change-times-order-flow, and a weekly cross above the 30-week average.
• The sample formula and Python code impose additional filters not included in the core description.
• The weekly moving-average cross is intended to capture trend, but may produce false signals.
• The article recommends considering fundamentals and market conditions alongside the technical criteria.
• No backtest or performance results are provided.

Tags

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