Screening Chinese Stocks by Turnover and Large-Order Flow

Summary

This note presents a Chinese equity screen requiring turnover between 3% and 12%, a positive product of price change and net very-large-order volume, and a stock code beginning with 60. It describes these filters as a way to focus on active shares with favorable price and order-flow signals. The article also includes example screening logic and Python code that ranks qualifying names using average turnover and volume relative to price.

The screen may miss less actively traded stocks, and the code-prefix rule excludes other listings. The post recommends adding fundamental or profitability measures, but provides no backtest, performance evidence, or validation of the signals. Its formula and code examples do not fully match the stated screening conditions, so implementation details need careful checking before use.

Key ideas

• The screen combines a 3%–12% turnover range with a positive price-change and large-order-flow signal.
• It limits candidates to stocks whose codes begin with 60.
• The example Python implementation further ranks candidates using turnover and volume measures.
• The post offers no performance test and notes that the filters can exclude potentially strong stocks.

Tags

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