Chinese Stock Screening with Turnover, Large-Order Flow, and Concentration

Summary

This note describes a Chinese equity screen combining turnover, price movement, large-order net flow, and an issuer concentration measure. Its initial description uses turnover between 3% and 12%, requires daily price change multiplied by super-large-order net volume to be positive, and limits concentration to below 70%. The final stated screen tightens the concentration limit to below 20%. The accompanying formula also includes a positive price-change range and ranks qualifying securities, while the Python example selects recent observations and sorts candidates by a turnover-and-volume weight.

The rationale is to focus on active stocks with supportive order flow and lower concentration. The post provides implementation sketches but no performance results or validation. The threshold discrepancy between the initial description, intermediate discussion, and final rule creates ambiguity, and the examples do not establish how the concentration metric or flow measure is calculated consistently. It also notes that the screen omits fundamentals and valuation, so its selections may not reflect company quality or fair value.

Key ideas

• The screen combines a 3%–12% turnover range with positive alignment between daily price change and super-large-order net flow.
• The final rule sets concentration below 20%, although earlier passages give a different cutoff.
• The code examples rank candidates using a turnover-and-volume weighting measure.
• The post warns that the screen does not account for company fundamentals or valuation.
• No backtest or live trading evidence is presented.

Tags

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