Chinese Stock Screening with Turnover, Order Flow, and RSI Filters

Summary

This document describes a Chinese equity screening rule that selects stocks with turnover rates from 3% to 12%, an outside-to-inside volume ratio above 1.3, and RSI below 65. The filters are intended to combine trading activity, a buying-versus-selling volume proxy, and a momentum oscillator. The article also provides sample query and Python implementations; the Python example adds a recent volume surge condition, calculates a ranking weight, and returns a limited list of candidates.

The text argues that turnover can help narrow the universe and RSI can constrain entry timing, while warning that technical filters can miss fundamental and other nontechnical influences. It also mentions liquidity and funding constraints. No historical test, benchmark, transaction-cost estimate, or evidence of returns is supplied. The query and Python examples are not fully identical, so readers should check implementation details before relying on the screen. Suggested additions such as valuation measures and other indicators are proposals, not validated improvements.

Key ideas

• The core screen requires turnover between 3% and 12%, an outside-to-inside volume ratio above 1.3, and RSI below 65.
• The Python example adds a recent volume increase filter and ranks candidates using turnover and volume relative to price.
• Technical filters may omit fundamental information and do not guarantee that a stock can be traded at desired size.
• The query and Python versions differ, and the article provides no backtest or return evidence.

Tags

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