Chinese Stock Screening with Turnover, Order Flow, and Limit-Up Filters

Summary

This Chinese stock selection note describes a daily screen combining turnover, price direction, large-order flow, and a prior-day limit-up exclusion. It seeks shares with turnover between 3% and 12% and a positive product of price change and net super-large-order volume, while removing stocks that hit the daily limit-up on the previous day. The accompanying discussion says the exclusion is intended to avoid overheated names and potential difficulty exiting around limit-up conditions.

The note also presents example implementations that add further filters, including volume, recent highs, and a cap on longer-term price appreciation, plus a ranking based on turnover and volume. These code examples do not match the stated core screen exactly, so they should be treated as variant implementations. No backtest results or performance evidence are supplied. The author flags liquidity and capital-flow uncertainty, and suggests combining the screen with fundamental and institutional-ownership analysis. The criteria are specific to the market conventions represented in the examples and do not establish profitability or reliable execution.

Key ideas

• The core screen selects stocks with turnover between 3% and 12% and a positive relationship between price change and large-order net volume.
• It excludes shares that reached the daily limit-up on the previous day.
• The sample code includes additional volume, price-high, and return filters beyond the described core logic.
• The note cautions that liquidity and changes in market sentiment can complicate entries and exits.
• No backtest evidence is provided, and the author suggests considering fundamentals and institutional holdings.

Tags

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