Screening Stocks by Turnover, Three Down Days, and Large-Order Flow

Summary

This post proposes screening Chinese A-share stocks for turnover between 3% and 12%, three consecutive declining sessions, and large-order net flow above a stated threshold for at least three days. It frames the combination as a way to identify stocks with sustained positive large-order activity despite recent falling prices. The post includes sample formula and Python-style logic, but the code’s calculation of large-order flow uses average volume and amount as a proxy, which does not establish actual order-flow direction or size.

No backtest, benchmark, transaction-cost estimate, or performance evidence is presented. The post itself cautions that the screen omits company fundamentals and may overstate the significance of large-order data, and suggests adding financial, industry, macroeconomic, or technical inputs. The description and sample implementation also leave important details unclear, including how turnover is measured, what qualifies as an eligible stock, and whether the consecutive-day conditions are applied consistently. The proposed rules should therefore be treated as an illustrative screening idea rather than a validated strategy.

Key ideas

• The proposed screen combines a specified turnover band with three consecutive declining sessions.
• It also requires positive large-order net flow above a stated threshold across multiple days.
• The example code approximates large-order activity using volume and amount, which may not measure true order flow.
• The post gives no backtest or evidence that the screening rules produce superior returns.
• It identifies missing fundamental and broader market factors as limitations.

Tags

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