Combining Turnover, Previous-Day Dragon-Tiger Listing, and Large-Order Activity

Summary

This post describes a Chinese equity screen requiring turnover between 3% and 12%, a listing on the previous day’s Dragon-Tiger trading disclosure, and a positive product of price change and a large-order activity measure. The conditions are presented as a way to focus on actively traded stocks that recently attracted market attention and substantial-order participation.

The post provides formula and data-processing examples, but no backtest results or evidence that the signals predict future returns. It warns that the selection omits company fundamentals and leaves market risk unaddressed. It suggests adding technical filters and valuation measures such as earnings and book-value ratios. The precise definition of the large-order measure and how the signed price move is combined with it should be checked, since the example formula may not match the verbal description exactly.

Key ideas

• The screen combines turnover between 3% and 12% with a previous-day Dragon-Tiger disclosure listing.
• It additionally requires a positive relationship between price change and large-order activity.
• The post treats turnover and disclosure status as indicators of activity and attention, not proof of future performance.
• It provides no test evidence and calls for fundamental analysis and clearer risk assessment.

Tags

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