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

Summary

This document describes a Chinese equity screen combining a turnover range, a ratio of aggressive buying to selling, and price structure intended to identify stocks with rising lows. The stated selection criteria are turnover between 3% and 12%, an outside-to-inside market volume ratio above 1.3, and a rising bottom. It also includes formula and Python examples that attempt to translate the screen into code.

The document offers no backtest, performance data, or evidence that the filters predict future gains. Its implementation details also appear inconsistent: the formula’s first condition checks the price change rather than turnover, and its volume ratio may not represent the stated outside-to-inside ratio. The Python conditions compare selected lows and highs in a way that may not fully match the written rising-bottom rule. The author notes that technical screens can become unsuitable as market conditions change and suggests adding indicators or financial filters. Treat the screen as an example to verify and test, not as a validated strategy.

Key ideas

• The screen combines turnover between 3% and 12% with an outside-to-inside volume ratio above 1.3.
• It also seeks stocks whose price structure suggests rising lows.
• The document provides formula and Python examples, but their conditions do not cleanly match the written criteria.
• No backtest or performance evidence is given, and changing market conditions may limit the screen’s usefulness.

Tags

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