Chinese Stock Screening with Turnover, Order Flow, and Reversal

Summary

This Chinese-language screening note describes selecting stocks with turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and a reversal pattern called “fan bao.” The stated rationale is to find active stocks where buying-side volume exceeds selling-side volume while the price pattern suggests a possible reversal. It includes example screening conditions and a Python-style outline for applying them to grouped stock data.

The note cautions that the reversal setup may be unstable and suggests adding indicators such as moving averages, KDJ, or RSI. It provides no historical test, return data, benchmark comparison, or detailed definition of the reversal condition. The code-like examples also appear to use price and volume fields in ways that do not clearly correspond to the described turnover and order-flow measures, so the screen would need careful validation against the intended data definitions before use.

Key ideas

• The screen combines a 3%–12% turnover range with an external-to-internal volume ratio above 1.3.
• It adds a reversal pattern as a further stock-selection condition.
• The author describes the setup as an unstable strategy and proposes adding other indicators.
• No backtest, performance evidence, or precise definition of the reversal pattern is supplied.
• The example formulas may not map cleanly to the stated screening variables.

Tags

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