Screening Chinese Stocks by Turnover, Order Flow, and Float Value

Summary

This document presents a Chinese A-share screening rule combining turnover, daily price change, large-order net flow, and circulating market value. The stated screen requires turnover between 3% and 12%, a negative product of daily change and large-order net flow, and circulating value between 5 billion and 10 billion yuan. It also includes example formulas and Python code for selecting stocks, with the code using a stock-code prefix as a market filter.

The rationale is to constrain liquidity and company size while looking for a particular relationship between price movement and large-order activity. The article offers no backtest, performance evidence, or detailed explanation of why this relationship should predict returns. It warns that the screen omits company fundamentals and can select weak businesses; small-cap stocks may also be risky during broad market declines. The examples should be checked before use because their units and conditions may not align perfectly with the verbal rule. The article suggests adding financial, factor, and market-trend analysis.

Key ideas

• The proposed screen combines turnover, daily price change, large-order net flow, and circulating market value.
• The stated turnover range is 3% to 12%, and the circulating value range is 5 billion to 10 billion yuan.
• The rule uses the sign of the product of daily price change and large-order net flow as a selection condition.
• The article provides formula and Python examples but presents no backtest or performance results.
• Fundamental weakness and broad market declines are identified as risks.

Tags

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