Screening Chinese Stocks by Turnover, Three Down Days, and Afternoon Inflows

Summary

This document describes a Chinese equity screening rule combining a turnover range of 3% to 12%, three consecutive declining sessions, and afternoon net inflows from large orders. It presents the screen as a way to combine price action, trading activity, and money flow when selecting stocks. The article also gives example implementations in indicator formula syntax and Python, though the examples do not align perfectly with the stated rules: the formula uses volume and moving-average conditions as proxies, while the Python example checks descending closes and positive inflow data.

The author cautions that technical and capital-flow signals omit fundamentals and policy factors, and that rapidly replacing holdings based on these conditions can be risky. Suggested refinements include adding valuation, earnings, and further technical measures such as moving averages or MACD. No backtest results or performance evidence are supplied, so the screen is a proposed selection method rather than a demonstrated strategy.

Key ideas

• The screen combines 3%–12% turnover, three declining sessions, and afternoon large-order net inflows.
• It aims to combine technical price behavior with liquidity and capital-flow information.
• The code examples do not fully match the prose description of the selection rules.
• The document warns that technical and flow signals alone omit fundamental and policy risks.
• It recommends adding valuation, earnings, and other technical measures for broader screening.

Tags

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