Screening Chinese Stocks by Turnover, Order Flow, and Daily Momentum

Summary

The document describes a Chinese equity selection rule combining turnover, the ratio of market buy volume to market sell volume, and institutional net buying. It filters for turnover between the stated bounds, a buy-to-sell volume ratio above the specified threshold, and positive institutional net flow above a threshold over at least three days. It then ranks qualifying stocks by daily price gain and selects the top five. A SQL-style example and a Python example are offered as implementation references.

The accompanying discussion suggests the screen may suit conditions with rising prices and visible inflows, but notes that order flow alone does not capture company fundamentals or broader market conditions. It recommends considering fundamental and industry characteristics. The examples do not establish that the screen has predictive power or provide performance evidence. The prose also describes a multi-day persistence condition, while the sample implementations appear to use different calculations for that condition; users should reconcile the intended definition before relying on results.

Key ideas

• The screen combines a turnover range, a buy-volume to sell-volume ratio threshold, and positive institutional net flow.
• Qualifying stocks are ranked by daily price change, with the top five selected.
• The proposed signal is framed as more relevant when market conditions and visible buying flows are supportive.
• Order-flow filters do not replace analysis of fundamentals, industry characteristics, or overall market conditions.
• The written persistence rule and the sample implementations may not measure multi-day net flow in the same way.

Tags

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