Small-Cap Stock Screen Using Turnover and Large-Order Flow

Summary

This proposed stock screen selects companies with turnover between 3% and 12%, a positive product of price change and net volume from very large orders, market capitalization below 10 billion yuan, and no reported loss. The article treats turnover as a measure of trading activity and the signed order-flow condition as a way to favor stocks where price direction agrees with large-order activity. It supplies formula and Python examples, but several additional filters appear in the examples, and some field definitions differ from the stated selection rule.

The author notes that simple filters may not suit every industry and can omit larger firms or companies with past losses that later perform well. Suggested refinements include adding earnings growth, leverage, operating cash flow, and industry review. The document offers no backtest results or evidence of predictive power, so its claims about finding quality candidates are hypotheses. It also leaves execution, portfolio sizing, and risk exits unspecified.

Key ideas

• The stated screen uses turnover from 3% to 12% and requires price change multiplied by net very-large-order volume to be positive.
• It also restricts candidates to companies below 10 billion yuan in market value and without losses.
• The examples include extra conditions that are not part of the headline rule, so implementation needs careful reconciliation.
• The author suggests adding growth, leverage, cash-flow, and industry analysis.
• No backtest or measured predictive performance is presented.

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