Screening Shanghai-Listed Stocks by Turnover and Price-Weighted Order Flow

Summary

This note proposes screening Chinese stocks whose codes begin with 60 and whose turnover lies between 3% and 12%, then ranking them by the product of price change and very-large-order net flow. The intended logic is to combine trading activity, recent price performance, and a measure of buying pressure. A Python example outlines retrieving listed stocks and money-flow data and calculating the product as a score.

The document describes the screen as a way to find stocks with strong flows and price action, but gives no tested results or performance evidence. It acknowledges that the selection omits fundamentals and growth, lacks risk controls, and may behave poorly in unusual markets. It recommends broadening assessment to include company quality and adding measures such as dynamic stop levels. The code is illustrative and does not establish that this ranking predicts future returns.

Key ideas

• The candidate universe is limited to stocks with codes beginning with 60.
• The screen requires turnover between 3% and 12% and ranks by price change multiplied by large-order net flow.
• The stated rationale is to combine recent price strength with a proxy for capital inflows.
• The approach omits fundamentals and growth measures, and the document reports no validation results.
• The author recommends adding company-quality checks and explicit risk controls.

Tags

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