Screening Chinese A-Shares by Turnover and Large-Order Flow
Summary
The document describes a Chinese A-share stock screen that excludes Beijing-listed shares, keeps stocks with turnover between 3% and 12%, and selects candidates when the absolute daily price change multiplied by net trading volume attributed to very large orders exceeds a stated threshold. It presents the rule as a way to combine price movement with large-order activity, and includes example formula and data-processing references.
The article provides no historical test, performance statistics, or evidence that the screen identifies future gains. It cautions that large-order activity on one day may not represent a persistent market trend and that technical signals can diverge from broader market fundamentals. It suggests adding other indicators, examining multiple time periods, and incorporating company fundamentals. The described screen is therefore a candidate-generation rule, not a validated strategy; the examples also depend on platform-specific data and definitions.
Key ideas
- The screen combines turnover limits with daily price movement and net volume attributed to very large orders.
- It excludes Beijing-listed shares from its candidate universe.
- The article warns that a single day's large-order flow may not indicate a lasting trend.
- It proposes adding technical indicators and fundamental measures, but reports no validation results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.