Screening Chinese Stocks by Turnover, Order Book Imbalance, and Institutional Flows

Summary

This note describes a Chinese equity screening rule that combines a turnover band of 3% to 12%, first-level bid volume greater than ask volume, and an indicator labeled institutional bottom-fishing. The stated rationale is to find actively traded stocks where near-term buying demand and institutional flows suggest investor interest. Example implementations use stock and fund-flow data, then return qualifying symbols; one example limits output to five stocks.

The article cautions that the institutional flow measure can lag and does not ensure future gains. It recommends adding fundamental analysis or historical predictive modeling, but provides no tested performance, validation, or precise definition of the institutional indicator. Its Python illustration derives the flow condition from rolling averages, which may not capture the described concept consistently, and its data handling would need verification before use. Treat the screen as a hypothesis for research, not a demonstrated strategy.

Key ideas

• The screen requires turnover between 3% and 12%, with first-level bid volume exceeding first-level ask volume.
• It adds an indicator described as institutional bottom-fishing to the stock selection conditions.
• The article warns that institutional flow signals can lag and do not predict a price rise with certainty.
• No backtest or performance evidence is provided, and the indicator calculation needs independent validation.

Tags

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