Short-Term Chinese Stock Screening with Turnover and Order-Flow Signals

Summary

This Chinese stock-selection proposal filters for shares with turnover between 3% and 12%, a positive daily price change, and a negative product of that price change and the net quantity attributed to very large orders. It also limits the universe to main-board stocks and includes a volume condition: current volume must exceed 1.5 times either its 10-day or 20-day average. The intended signal combines active trading, a short-term gain, and a divergence between price movement and large-order flow.

The post gives indicator logic and sample implementation references, but no backtest results or evidence that the screen predicts returns. It warns that the selection relies on short-term price and volume behavior and omits company fundamentals and broader market conditions. The stated thresholds and board restriction are specific to the proposed screen; they should not be treated as validated or universally suitable trading rules.

Key ideas

• The screen requires turnover between 3% and 12% and a daily gain of at least 1% for main-board stocks.
• It selects for a negative relationship between the daily price change and very-large-order net flow.
• Current volume must exceed 1.5 times either its 10-day or 20-day average.
• The post supplies no performance evaluation and flags the lack of fundamental and market-regime filters.

Tags

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