Screening Chinese Stocks by Turnover, Large-Order Flow, and a Rising Moving Average

Summary

This document presents a Chinese stock selection rule using turnover between 3% and 12%, a positive product of daily price change and very-large-order net flow, and an upward-sloping 30-day moving average. Its indicator example adds further filters: a bounded daily price change, trading volume at least equal to its reference rate, and selected Shanghai or Shenzhen listings. The accompanying Python outline checks turnover, a flow measure scaled by volume, price relative to the 30-day average, and a stock-code prefix.

The document explains the filters as a way to combine trading activity, price direction, capital-flow data, and a basic trend condition. It offers no backtest results or evidence that the rule is profitable. It also notes that the screen omits company fundamentals and that broad market moves and investor sentiment can affect prices. Suggested refinements include adding measures such as profitability or valuation and other technical indicators. The code and indicator conditions differ in places, so implementation details would need to be reconciled before testing.

Key ideas

• The core screen uses a turnover band, positive alignment between daily price change and very-large-order net flow, and a rising 30-day average.
• The indicator example adds bounds on daily returns, a volume condition, and listing filters.
• The Python outline checks turnover, a flow measure, price relative to its moving average, and a code prefix.
• The strategy description does not provide backtest evidence and omits fundamental quality measures.
• The document notes that market conditions and investor sentiment can affect the screen's results.

Tags

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