Screening Chinese Stocks by Turnover, Order Flow, and Profit Growth

Summary

This stock screen combines a daily turnover range of 3% to 12% with a condition that the day’s price change multiplied by net large-order flow is below zero. It also requires year-over-year growth in net profit attributable to parent-company shareholders to be above 20% and no more than 100%. The article supplies example formula and Python implementations for applying the conditions to Chinese A-share data.

The screen is presented as a way to combine trading activity and order-flow information with a financial growth measure. The article cautions that relying heavily on a single financial indicator can overlook other important influences. It recommends adding industry analysis and broader market conditions. No backtest results, sample period, portfolio rules, transaction costs, or evidence of predictive performance are given. The code examples also depend on the availability and interpretation of the underlying fields, so the screen should be treated as a selection rule to evaluate rather than a demonstrated strategy.

Key ideas

• The screen limits candidate stocks to a daily turnover rate between 3% and 12%.
• It selects for an inverse relationship between daily price change and net large-order flow.
• It requires parent-company net profit growth above 20% and at most 100% year over year.
• The article advises combining the financial filter with industry and market analysis.
• The document provides example implementations but no performance evidence.

Tags

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