Selecting Chinese Stocks with Turnover and Order Flow Filters

Summary

This Chinese equity screen combines a turnover rate between 3% and 12%, an outside-to-inside trading volume ratio above 1.3, and displayed buy volume greater than sell volume. The article presents the filters as a way to find actively traded stocks with supportive order flow, and suggests combining them with industry and financial measures such as valuation or dividend yield. Its Python example adds an industry restriction, compares recent volume with a prior-period average, and ranks qualifying names using a turnover and volume based weight.

The post gives implementation sketches, but no backtest, performance evidence, or precise trading and portfolio rules. Its SQL example and Python example differ in details, including the added volume surge condition and ranking step. The author notes that the screen may miss less liquid stocks with potential and omits macroeconomic context. Order flow and turnover filters alone do not establish value or future returns, and the proposed enhancements are suggestions rather than tested improvements.

Key ideas

• The screen requires turnover between 3% and 12%, an outside-to-inside volume ratio above 1.3, and buy volume greater than sell volume.
• The Python example adds a recent volume surge condition and ranks eligible stocks by a turnover and volume based weight.
• The article recommends combining trading activity filters with industry and financial measures.
• The post provides no backtest evidence, and its SQL and Python examples do not use identical conditions.

Tags

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