Screening Chinese Stocks by Turnover, Order Flow, and Recent Price Strength

Summary

The document describes a Chinese equity screening rule that combines turnover, the ratio of aggressive buy volume to sell volume, and recent price strength. It selects stocks with turnover between 3% and 12%, a buy-to-sell volume ratio above 1.3, and at least one daily gain of 10% or more during the prior 25 trading days. It also provides example indicator formulas and Python code intended to implement the screen.

The rationale is to find stocks showing trading activity and upward momentum, but the post offers no backtest, performance evidence, or detailed execution rules. It warns that the criteria omit company fundamentals and may produce unstable results, and suggests adding fundamental measures and technical indicators. The examples should be checked carefully: some formula expressions do not directly match the stated conditions, so implementation details may change which stocks qualify.

Key ideas

• The screen requires turnover between 3% and 12% and a buy-to-sell volume ratio above 1.3.
• It also looks for a daily gain of at least 10% within the previous 25 trading days.
• The post offers example formulas and Python code, but their conditions may not fully match the written rule.
• The strategy is not supported by performance results and omits fundamental analysis.
• The author suggests combining the screen with fundamental data and additional technical indicators.

Tags

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