Chinese Stock Screening with Turnover, Profit Growth, and Order Flow

Summary

This note describes a Chinese equity screen combining turnover, year-over-year net profit growth attributable to parent-company shareholders, and the ratio of external to internal trading volume. It selects stocks with turnover between 3% and 12%, profit growth above 20% and up to 100%, and an external-to-internal volume ratio above 1.3. The article frames these as measures of trading activity, company performance, and buying pressure.

It provides formula and Python examples, but no backtest, performance statistics, or evidence that the screen predicts returns. The code is presented as a reference and contains apparent inconsistencies between the stated criteria and some data fields or calculations, so implementation details need verification. The article also cautions that the conditions omit factors such as industry, market capitalization, and leverage, and that volatile markets can affect selections. It recommends refining the indicators and monitoring company and market conditions.

Key ideas

• The screen combines turnover, profit growth, and an external-to-internal trading volume ratio.
• It limits turnover to 3%–12% and profit growth to above 20% and at most 100%.
• The article gives formula and Python examples but reports no performance evidence.
• The author identifies omitted company factors and changing market conditions as limitations.

Tags

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