Combining Turnover, Large-Order Flow, and Revenue Growth in a Stock Screen

Summary

This Chinese equity screening rule combines a turnover range of 3% to 12%, a positive product of the day’s price change and large-order net flow, and revenue in 2021 at least 10% above revenue in 2018. The post presents the combination as a way to pair trading activity and order-flow direction with a measure of company growth. It includes formula and Python examples, but the code and accompanying field descriptions leave some ambiguity about how the historical revenue comparison is represented and how the order-flow condition is scaled.

The author cautions that these filters omit other company fundamentals and macroeconomic influences. The proposed refinement is to consider additional valuation, financial, and industry information alongside the existing signals. The document offers no backtest, performance measurements, or evidence that the screen predicts returns; it is a rule specification with implementation examples and stated limitations, not a validated strategy.

Key ideas

• The screen requires turnover between 3% and 12% and a positive interaction between price change and large-order net flow.
• It also requires revenue growth from 2018 to 2021 to exceed 10%.
• The post provides formula and Python examples, with some ambiguity in data fields and scaling.
• The author recommends adding further financial and industry measures.
• No performance evidence or backtest results are reported.

Tags

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