Selecting Stocks by Turnover, Large-Order Flow, and Position Growth

Summary

This proposed Chinese stock screen combines turnover between 3% and 12% with a positive product of the day’s price change and net large-order flow, plus daily position growth above 5%. The article presents the product as a way to relate the direction of price movement to large-order activity, while position growth is intended to indicate additional market interest. It includes example selection formulas and Python, but the implementations are not fully consistent with the written rule: the displayed formula omits the turnover condition, and the Python conditions differ in how they represent the price-flow test and position growth.

The author notes that the approach can favor hot sectors and volatile stocks while ignoring fundamentals. Fundamental measures and other technical indicators are suggested as possible additions. No backtest, return data, or validation is supplied, and the meaning and reliability of the position-growth and order-flow data are not examined.

Key ideas

• The screen requires turnover between 3% and 12% and daily position growth above 5%.
• It combines price direction with net large-order flow through a positive product condition.
• The supplied formulas and code do not consistently match the written screening rule.
• The article warns that the method ignores fundamentals and may select volatile, theme-driven stocks.

Tags

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