Chinese Stock Selection by Turnover, Float Value, and Order Flow

Summary

This Chinese-language post describes a daily mainland China stock screen. It filters main-board shares to a turnover range of 3% to 12% and a circulating market value between 5 billion and 10 billion yuan, then ranks candidates using the product of daily percentage price change and large-order net flow. The stated final rule selects the ten highest-scoring stocks, while example formulas also include a minimum liquidity condition.

The post offers screening logic and illustrative formula and Python implementations, but it presents no backtest, return series, or statistical validation. The code examples do not fully match the prose: the Python comparison uses a prior-day price-and-volume expression rather than the described large-order net flow and top-ten ranking. The author notes that data-field names and market classifications must be adapted. Risks include short-term price inflation, reliance on a current flow measure, and omission of company fundamentals; quality and valuation measures are suggested as possible additions.

Key ideas

• The screen limits candidates to main-board shares with turnover between 3% and 12% and circulating value between 5 billion and 10 billion yuan.
• It proposes ranking stocks by the product of daily price change and large-order net flow.
• The stated selection rule takes the ten highest-ranked candidates and includes a liquidity filter in the sample formulas.
• The examples do not fully implement the described signal, and no performance evidence is supplied.
• The post identifies missing fundamental analysis and short-term flow dependence as limitations.

Tags

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