Chinese Stock Screening with Turnover, Order-Book Imbalance, and Fund Flows

Summary

This Chinese-language article presents an equity screening rule that selects stocks with turnover between 3% and 12%, first-level bid volume greater than ask volume, and positive net main-fund buying on the prior day. It proposes taking up to 50 names from the qualifying universe, with example SQL-like screening logic and Python references using market-detail, money-flow, and daily-basic data. The selection combines a trading-activity filter, a top-of-book volume comparison, and a proxy for institutional or large-investor flows.

The article characterizes these inputs as signs of participation and potential upward strength, but supplies no measured returns, benchmark comparison, or validation procedure. It acknowledges that the few indicators omit fundamentals and broader market sentiment, and suggests adding valuation, financial-statement, news, or machine-learning inputs. Data definitions and dates in the code examples may not align perfectly across sources, so the screening rule would need careful implementation and testing before use.

Key ideas

• The screen requires turnover to fall within the stated 3% to 12% band.
• It compares first-level bid volume with ask volume and requires greater buying volume.
• It filters for positive prior-day net main-fund flows and selects up to 50 qualifying stocks.
• The examples combine quote, money-flow, and turnover data from Chinese market sources.
• The article provides no performance evidence and notes that the screen omits fundamentals and market sentiment.

Tags

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