Chinese Stock Screening with Turnover, Relative Gains, and Large-Order Flow

Summary

This Chinese-market screening rule combines a daily trading-activity filter with price performance and a large-order flow measure. It selects main-board stocks whose turnover is between 3% and 12%, whose daily gain exceeds 1% relative to the same sector, and whose return has the same sign as the net amount attributed to very large orders. The post includes formula and Python references, though the Python example compares the stock with an index and uses volume-derived flow rather than implementing every stated condition exactly.

The author presents the combination as a way to find shares with short-term price strength and supporting flows. The document provides no performance results or backtest evidence. It cautions that short-term price and flow measures omit longer-term business fundamentals, and that multiplying return by a flow measure is a crude proxy that can misrepresent value. Suggested refinements include adding financial and industry filters, such as earnings stability and valuation. The rule is a screening concept, not a complete entry, exit, or risk-management system.

Key ideas

• The screen requires turnover between 3% and 12% and a daily gain above 1% relative to the sector.
• It also requires the price change and very-large-order net flow to have matching signs.
• The document gives formula and Python examples, but the implementation details do not fully match the stated sector-relative and order-flow conditions.
• The rule focuses on short-term activity and price behavior, leaving company fundamentals and valuation largely unaddressed.
• The document offers no performance evidence and describes no exit or position-sizing rules.

Tags

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