Screening Chinese Stocks by Turnover, Order Flow, and Metaverse Theme

Summary

The article describes a Chinese stock screen that combines a daily turnover-rate band of 3% to 12%, an outside-volume to inside-volume ratio above 1.3, and association with the metaverse theme. It frames the turnover constraint as a way to consider liquidity and trading costs, while the order-flow ratio and theme filter narrow the candidates. The article includes example query and Python-style implementations, with the latter also applying a recent volume-spike condition and ranking candidates by a weight based on average turnover and volume relative to price.

The stated risks are reliance on forecasts about the theme’s prospects, exposure to short-term hype, and omission of short-term risks and company fundamentals. It suggests adding fundamental and risk-control measures. No historical returns, benchmark comparison, or validation are provided, and the examples do not match exactly: the Python version adds conditions absent from the stated final screen. The rules are therefore a screening proposal, not evidence of a tested strategy.

Key ideas

• The proposed screen selects stocks with turnover between 3% and 12%, an outside-to-inside volume ratio above 1.3, and a metaverse association.
• The article presents example query and Python implementations, but the Python version adds a recent volume-spike filter and a ranking calculation.
• The author identifies theme forecasting, hype, and omitted fundamentals as risks.
• The document supplies no backtest results or evidence that the screen is profitable.

Tags

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