Chinese Stock Screening with Turnover, Money Flow, and Auction Volume

Summary

The document describes a Chinese equity screen combining daily turnover, the relationship between price change and super-large-order net flow, and a comparison of auction volume with the prior day’s volume. The written rule requires turnover from 3% to 12%, a positive product of price change and net flow, and a volume ratio from 0.5 to 2 weighted by the previous day’s turnover. Code examples are offered for implementing the screen, though their calculations do not fully match the prose.

The author presents turnover as a measure of activity and the flow and auction-volume conditions as ways to assess trading energy and participation. No performance data or backtest evidence is provided. The screen omits fundamental analysis, and auction volume can vary with market conditions and trader behavior; these limits may affect both the stocks selected and the signal’s reliability.

Key ideas

• The screen filters for daily turnover between 3% and 12%.
• It requires the product of daily price change and super-large-order net flow to be positive.
• It also constrains a ratio using prior-day turnover, current auction volume, and prior-day volume.
• The article identifies missing fundamental analysis and variable auction activity as limitations.
• The code examples may not implement the written rule consistently.

Tags

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