Screening Main-Board Stocks by Turnover, Reversal, and Buy-Sell Volume

Summary

This note describes screening Chinese main-board stocks for turnover between 3% and 12%, a reversal-style pattern called a rebound, and a ratio of outside-market to inside-market volume above 1.3. The proposed interpretation is that the reversal pattern identifies a price recovery, while the volume ratio signals stronger buying than selling. The accompanying formula sorts qualifying stocks by market value.

The author acknowledges that the screen does not adequately account for company fundamentals or policy conditions, and suggests adding valuation, sector-flow, and ownership-distribution measures. The Python example approximates buying and selling with aggregated money-flow categories, but also introduces futures positioning data and stock filters that do not clearly reproduce the stated reversal condition. No backtest or results are given, so the note offers a screening concept rather than evidence of predictive performance.

Key ideas

• The proposed screen combines a 3%–12% turnover band with a rebound pattern and a buy-to-sell volume ratio above 1.3.
• The author interprets a higher outside-to-inside volume ratio as evidence of stronger buying activity.
• The strategy is intended for main-board stocks and sorts candidates by market value.
• Fundamental, policy, and broader market factors are not incorporated into the core rule.
• The example code only partially matches the described conditions, and no backtest results are reported.

Tags

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