Screening Stocks by Turnover, Price Change, Large-Order Flow, and Control

Summary

This Chinese stock-selection note screens for turnover between 3% and 12%, a positive product of the day’s price change and net large-order volume, and an indication that major investors controlled the stock on the prior day. The stated rationale is to combine trading activity and buying pressure with a recent control signal. The article also proposes adding technical or fundamental filters and risk controls such as stop-loss and profit-taking rules.

It includes formula and Python examples but no backtest, portfolio construction, or reported returns. The code and verbal rule are not fully aligned: the formula introduces additional price-change bounds and uses proxy conditions for control, while the Python example checks only one prior-day field. The author warns that the control indicator can give false signals and that short-term screening can miss longer-term company value. The strategy is therefore a screening idea with implementation ambiguities, not evidence of an established edge.

Key ideas

• The proposed screen requires turnover from 3% to 12% and a positive interaction between price change and net large-order flow.
• It also requires a prior-day indication of major-investor control.
• The note suggests adding other technical or fundamental filters and risk controls.
• Its code examples differ in their conditions, and no empirical performance evidence is provided.

Tags

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