Equity Screening with Turnover and Large-Order Flow

Summary

This community post describes a Chinese stock screen that looks for shares with turnover between 3% and 12%, while requiring the product of price change and net very-large-order volume to be positive. The stated universe is stocks from 2021. The accompanying rationale is that turnover may capture trading activity and the order-flow condition may indicate demand alongside positive price movement.

The post includes example selection logic in two different code-style references, with additional filters and ranking details that do not fully match the short verbal rule. It warns that a single-year focus can be backward-looking and may exclude weak recent performers that later recover. It suggests combining the screen with fundamentals, sector trends, or multi-year analysis. No performance results, benchmark comparison, transaction-cost assumptions, or evidence of out-of-sample testing are supplied, so this is best treated as a screening idea rather than a validated strategy.

Key ideas

• The core screen combines a bounded turnover range with a positive price-change and large-order-flow product.
• The stated stock universe is tied to 2021, which can make the approach dependent on a particular market period.
• The code examples add filters and ranking steps that differ from the concise verbal description.
• The author suggests adding fundamental or sector information and examining multiple years.
• The post provides no backtest evidence to establish profitability or robustness.

Tags

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