Chinese Stock Screening with Turnover, Large-Order Flow, and Float Size

Summary

The document describes a Chinese equities screen using turnover between 3% and 12%, a positive product of price change and net large-order flow, and a limit on tradable shares. It frames these filters as a way to combine trading activity, capital flows, price direction, and float size. It also includes example selection logic and Python code intended to rank qualifying stocks.

The write-up cautions that the screen may miss stocks with other sources of value and does not account for fundamentals or future market conditions. It suggests adding technical, fundamental, or market data and adjusting the float threshold. The examples are not fully consistent: the stated float limit is 5.5 billion shares, while the code and turnover conditions contain different thresholds and extra filters. No backtest results or evidence of performance are provided, so the screen should be treated as a selection rule to investigate rather than a validated strategy.

Key ideas

• The proposed screen uses a turnover range of 3% to 12%.
• It requires price change multiplied by net large-order flow to be positive.
• The stated rule limits tradable shares, while the example code includes additional conditions.
• The document flags missing fundamental and market context as limitations.
• It provides no performance evidence for the selection rule.

Tags

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