Screening Stocks by Turnover, Recent Leaderboard Presence, and Large-Order Flow

Summary

The proposed Chinese stock screen combines a daily turnover range of 3% to 12%, an appearance on the previous day’s trading leaderboard, and large-order net flow above 0.05 for at least three consecutive days. The article frames these filters as measures of liquidity, market attention, and recent buying pressure, and provides example expressions for implementing the conditions in screening tools.

The post offers no backtest results or evidence of returns. It warns that the screen may overfit, relies heavily on short-term capital-flow signals, and omits fundamentals and broader market risks. Its examples also describe the flow condition in different ways: one uses a rolling average, while the stated selection rule requires consecutive qualifying days. That distinction should be resolved before implementation, and the thresholds should be tested against reliable data and realistic trading costs.

Key ideas

• The screen selects stocks with turnover between 3% and 12% and a prior-day leaderboard appearance.
• It also seeks positive large-order net flow above 0.05 across at least three consecutive days.
• The article interprets the filters as proxies for liquidity, attention, and buying pressure.
• It cautions that short-term flow filters can overfit and recommends considering fundamentals and wider market risks.
• The example implementations differ on whether flow is tested by a rolling average or consecutive daily readings.

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