Filtering A-Shares by Turnover, Size, Profitability, and Large-Order Flow

Summary

The document proposes screening A-shares with turnover between 3% and 12%, market capitalization below 10 billion yuan, and no losses, then selecting stocks whose large-order net volume exceeds 0.05 for at least three consecutive days. It presents this as a way to find stocks attracting substantial buying interest, combining trading activity with basic size and profitability filters.

The article includes a formula reference and a Python sketch, but offers no performance results or backtest evidence. It cautions that the screen relies heavily on trading data and may overlook company operations, financial statements, and industry conditions. Large-order flow can also shift with market conditions and funding. The author recommends evaluating fundamentals, competition, policy, and broader capital flows alongside the signal, and adapting its threshold to the market environment. The code and described criteria should be treated as an illustrative screening idea rather than a validated investment strategy.

Key ideas

• The proposed universe is A-shares with 3%–12% turnover, market value under 10 billion yuan, and no losses.
• Stocks must show large-order net volume above 0.05 for at least three consecutive days.
• The article interprets persistent large-order flow as a possible sign of investor attention and buying demand.
• The screen does not provide backtest evidence and omits important company and industry fundamentals.
• The author suggests adjusting the signal threshold and assessing broader market and business conditions.

Tags

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