Screening Shanghai-Listed Stocks by Turnover and Main Fund Flows

Summary

This equity screen selects stocks whose codes begin with 60, whose turnover rate is between 3% and 12%, and whose prior-day main fund flow is positive. The rationale is to combine a trading-activity range with a signal that large investor flows were supportive. The example uses stock listing data and daily market data to filter candidates.

The document cautions that relying on a recent main-fund-flow reading may favor short-term speculation while overlooking company fundamentals and longer-term trends. It suggests adding valuation, price, and technical measures, but does not define a tested combined method. No backtest or returns evidence is presented, and the code’s data fields and date handling would need checking before practical use. The screen is best read as a candidate-selection rule rather than a demonstrated trading strategy.

Key ideas

• The screen restricts candidates to codes beginning with 60 and turnover between 3% and 12%.
• It requires positive main fund flow on the previous day.
• The rationale combines liquidity activity with a recent capital-flow signal.
• The document provides no performance evidence and warns about speculative, short-term bias.

Tags

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