Chinese Stock Screening with Turnover, Order Flow, and Rising Averages

Summary

This Chinese equity screening strategy selects stocks with turnover between 3% and 12%, an outside-volume to inside-volume ratio above 1.3, and rising moving averages. Its formula checks whether the 10-, 20-, 30-, and 60-period averages are each higher than their prior values. The rationale combines a turnover range intended to find active shares, a volume ratio treated as a buying-pressure signal, and upward-sloping averages as a trend filter.

The document cautions that rising averages do not confirm a durable uptrend and that sharp pullbacks remain possible. It also acknowledges that this screen omits other contextual factors, then suggests adding technical and fundamental filters such as moving-average crossovers or changes in turnover. It gives formula and Python examples but no backtest results or evidence of profitability, so the rules are best understood as a candidate screening heuristic requiring independent evaluation.

Key ideas

• The screen filters for turnover from 3% to 12% and an outside-to-inside volume ratio above 1.3.
• It requires four moving averages to rise relative to their previous values.
• The method treats turnover as an activity filter and the volume ratio as a buying-pressure proxy.
• Rising averages can precede reversals, and the document provides no performance evaluation.

Tags

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