Screening A-Shares by Turnover and Persistent Large-Order Net Flow

Summary

This stock-selection idea screens A-shares for turnover between 3% and 12%, excludes Beijing-listed shares, and selects stocks whose large-order net flow remains above 0.05 for at least three consecutive days. The accompanying code reference describes a three-day cumulative net-flow measure and checks for positive flow across that period.

The rationale is that sustained large-order buying may signal demand, but the document offers no backtest or evidence of returns. It cautions that positive flow does not ensure a price rise and that the screen omits other market and technical conditions. It suggests adding indicators such as moving averages and trading volume, and adjusting the measurement period and threshold as conditions change. The proposed screen is a heuristic, and the text does not establish that it reduces volatility or reliably identifies profitable trades.

Key ideas

• The screen combines a 3%–12% turnover range with an exclusion of Beijing-listed A-shares.
• It selects stocks with large-order net flow above 0.05 for at least three consecutive days.
• The document treats sustained large-order flow as a possible demand signal, not a guarantee of gains.
• It recommends considering other indicators and adapting the flow window and threshold to market conditions.

Tags

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