Screening Stocks by Turnover, Order Flow, and Intraday Declines

Summary

This stock-selection rule filters for turnover between 3% and 12%, an outside-volume to inside-volume ratio above 1.3, and a maximum daily decline between 4% and 5%. The article presents the combination as a way to find liquid stocks with buying pressure despite a sharp intraday fall. It includes reference formulas for a Chinese stock-screening platform and a Python example that applies the conditions to each stock’s latest observation.

The document offers no historical test results, benchmark, or evidence that the screen predicts returns. Its suggested interpretation of the order-flow ratio and price decline is therefore a hypothesis rather than a demonstrated effect. It also warns that the filter can miss fast-moving growth stocks and may include stocks with weak resilience. The article suggests supplementing the screen with valuation, profitability, and business outlook information, but does not specify how to combine those factors or test the revised selection rule.

Key ideas

• The screen requires turnover from 3% to 12%, outside-to-inside volume above 1.3, and a daily maximum decline between 4% and 5%.
• The article interprets the volume ratio as a sign of buying interest during a decline.
• The document supplies platform formula and Python implementation examples.
• No backtest or measured predictive evidence is reported.
• The screen may miss volatile growth stocks and select stocks with poor resilience.

Tags

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