Screening Stocks by Turnover, Order-Flow Imbalance, and Prior Limit-Ups

Summary

This Chinese stock-screening article describes selecting shares with turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and an exclusion intended to remove stocks that hit the upper price limit the previous day. It presents turnover as a way to focus on active shares and the external-versus-internal volume ratio as a possible sign of buying pressure. Formula and Python examples are included.

The article warns that excluding prior limit-up stocks can remove shares that continue rising, while the screen omits company financials and may not fit the prevailing market trend. It suggests adding fundamental and technical filters. There are no backtests or performance results. The written turnover condition and its example formula appear to use different quantities: the formula compares current price with the previous close, while the prose and Python use turnover ratio. The volume-ratio and prior-limit-up handling also need careful definition before implementation, so the examples should not be treated as a fully specified or validated strategy.

Key ideas

• The stated screen uses a 3%–12% turnover range and an external-to-internal volume ratio above 1.3.
• It aims to exclude stocks that reached the upper price limit the previous day.
• The article interprets the volume ratio as a possible buying-pressure signal but gives no performance evidence.
• The formula example appears inconsistent with the written turnover condition, so implementation details need verification.
• The document notes that the exclusion can discard stocks that later continue rising.

Tags

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