Chinese Stock Screening with Turnover, Order Flow, and Volume Ratio

Summary

This note describes a Chinese equity screen combining daily turnover, the product of price change and large-order net volume, and a volume-ratio range. Its main stated thresholds are turnover between 3% and 12%, a positive product of price change and large-order net volume, and volume ratio between 1.5 and 6. The article also includes example implementations and suggests adding technical, fundamental, industry, or style filters. The Python example adds conditions beyond the core description, including prior-day turnover, market capitalization, and a comparison of recent closing prices, so it does not implement only the stated screen.

The article provides no backtest, performance data, or evidence that the filters predict returns. It warns that a single volume measure can be limiting and that the screen may miss stocks with other sources of value. Its written criteria and example formulas are not fully consistent, so users would need to reconcile definitions and verify the implementation before relying on it.

Key ideas

• The stated screen selects stocks with turnover between 3% and 12%.
• It requires price change multiplied by large-order net volume to be positive.
• The described volume-ratio range is greater than 1.5 and less than 6.
• The Python example adds market-capitalization and price-trend filters beyond the core criteria.
• The article gives no performance evidence and notes that single-indicator screening has limits.

Tags

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