Screening Stocks by Turnover, Order-Flow Ratio, and Recent Limit-Ups

Summary

The document describes a Chinese stock screen combining turnover between 3% and 12%, an external-to-internal trading volume ratio above 1.3, and a limit-up event within roughly the past month. It frames turnover and the order-flow ratio as activity and sentiment measures, while recent limit-up behavior is used to identify stocks that have shown strong price action. The post includes formula and Python examples that attempt to apply these conditions and inspect recent price highs.

The author notes that the screen omits company financial health and may select stocks whose recent surge is not aligned with the broader trend or whose prices have already weakened. Suggested refinements include profitability measures and technical indicators such as RSI or moving averages. The examples have notable ambiguities: one formula appears to compare price and volume changes rather than the stated turnover and external-to-internal ratio, and the recent high-price test is not clearly equivalent to the stated limit-up rule. No backtest or return evidence is supplied, so the screen should be understood as an unvalidated heuristic.

Key ideas

• The proposed screen combines a turnover band, an external-to-internal trading volume ratio above 1.3, and a recent limit-up event.
• The post interprets these filters as measures of liquidity and recent market sentiment.
• Recent limit-up stocks may have weakened or may not fit the prevailing market trend.
• The provided formulas appear inconsistent with some of the stated conditions.
• Fundamental filters and technical indicators are suggested, but no performance test is reported.

Tags

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