Screening A-Shares by Turnover, Reversal Candles, and Large-Order Flow
Summary
This A-share stock screen combines a daily turnover rate between 3% and 12%, a reversal-style candle condition, and positive large-order net volume over at least three days. The article presents these filters as a way to find actively traded shares showing a price reversal and sustained buying pressure. It cautions that order-flow measures can be misleading, the short lookback may omit relevant context, and a small set of signals can miss other useful information.
The article suggests adding valuation, financial, and technical factors for a broader assessment. It includes indicator formulas and sample Python that calculate candle range proportions and aggregate net volume, but the implementation details are not a validated trading system. No backtest, selection results, or evidence of outperformance is reported, so the proposed criteria should be understood as a screening recipe rather than an established source of returns.
Key ideas
- The screen requires turnover between 3% and 12% and a reversal-style price pattern.
- It also looks for positive large-order net volume across at least three days.
- The article flags the limited lookback and possible errors in interpreting order-flow data.
- It recommends combining these signals with financial and other technical measures, without providing performance validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.