Chinese Stock Screening with Turnover, Order Flow, and Opening Price Filters

Summary

This document describes a Chinese equity screen that combines turnover, order-flow imbalance, and the opening auction’s price change. It selects stocks with turnover between 3% and 12%, an outside-volume to inside-volume ratio above 1.3, and a 9:25 price rise below 6%. The article also provides example SQL and Python implementations, and mentions a large-capitalization filter in the SQL example.

The screen aims to use early-session activity alongside liquidity-related measures to narrow the candidate list. The document offers no backtest results or evidence that the conditions predict returns. It warns that market fluctuations can affect selections and that restrictive thresholds may leave few stocks or exclude worthwhile candidates. It suggests loosening the opening-price limit or adding industry and valuation criteria, but does not test those changes. The sample code and descriptions also differ in some implementation details, so users would need to confirm that the data fields and timing match their intended market and platform.

Key ideas

• The screen combines turnover between 3% and 12% with an outside-to-inside volume ratio above 1.3.
• It excludes stocks whose 9:25 price change is 6% or higher.
• Example SQL and Python implementations illustrate how the filters could be applied.
• The document provides no performance testing and cautions that strict filters may produce few selections.

Tags

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