Screening A-Shares by Turnover, Large-Order Flow, and Prior-Day Low

Summary

This A-share stock screen selects names with turnover between 3% and 12%, a positive product of the day’s price change and net super-large-order flow, and a close above the previous day’s low. The accompanying formula adds filters for daily change from −5% to 2.6%, volume rate of at least one, and selected Shanghai or Shenzhen codes beginning with 000. The Python example sorts each stock’s history and applies the turnover, order-flow, previous-low, and code-prefix conditions to its latest row.

The rationale is to combine trading activity and order-flow direction with a price-location check. However, the article provides no backtest, benchmark, or outcome statistics. It notes that the approach emphasizes recent price action and omits business quality, while suggesting that fundamentals or other technical measures could be considered. The code and formula do not align perfectly in the details of their filters, so implementation should be checked against the intended definition of net flow and the target data fields. The screen alone does not specify entries, exits, or position sizing.

Key ideas

• The core screen uses turnover, the sign of price change multiplied by net large-order flow, and a close above the previous day’s low.
• The formula adds daily-change, volume-rate, and stock-code conditions.
• The example code applies its conditions to each stock’s latest observation.
• The article cautions that the screen omits company fundamentals and broader market influences.
• No tested performance or complete trade-management rules are provided.

Tags

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