Chinese Stock Screening with Turnover, Momentum, and Fund-Flow Filters

Summary

This Chinese-language post proposes screening mainland Chinese stocks using a turnover-rate range of 3% to 12%, a positive ten-day gain below 35%, and a prior-day indicator described as main-fund control. Its accompanying Python example applies additional eligibility filters, including exclusions for selected listing boards, special-treatment names, and newer listings. The code then checks daily price and turnover data and uses positive main-fund net inflow as a proxy for the control condition.

The post cautions that fund-control data may be manipulated or inaccurate and that the screen omits fundamentals and industry context. It recommends validating the data source and combining the signal with broader factors and risk controls. The example is a screening illustration, not a demonstrated trading system: it reports no backtest, portfolio construction, execution assumptions, or realized returns. Its implementation also depends on specific data-provider fields and date choices, so the exact logic and units should be checked before reuse.

Key ideas

• The proposed screen combines turnover, recent price gain, and a prior-day main-fund flow proxy.
• The example adds filters for selected listing boards, special-treatment stocks, and listing age.
• Positive main-fund net inflow is used as an operational proxy for fund control.
• The author warns that flow data may be manipulated and that the screen omits fundamentals and industry effects.
• No strategy performance or backtest evidence is provided.

Tags

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