Stock Screening by Turnover, Fund Flow, and Valuation

Summary

This note describes a Chinese stock screen centered on fund strength and prior-day turnover above 8%, with a stated focus on 2021 data. It presents high turnover as a sign of activity and fund strength as a rough measure of investor attention. Its later proposed selection criteria add price-to-earnings below 20, price-to-book above 1, and fund strength above 100, so the exact screen is not consistent throughout the document.

The author warns that two indicators cannot capture all drivers of stock prices and that using historical data may miss later events or changing market conditions. The note suggests adding valuation measures and longer lookback periods. It provides no backtest, performance evidence, or precise definition of fund strength. The included code is incomplete and does not implement the full stated screen, so the material is best read as a rough screening idea rather than a reproducible or validated strategy.

Key ideas

• The initial screen selects stocks with prior-day turnover above 8% and a 2021 time filter.
• The proposed final criteria also include fund strength above 100, price-to-earnings below 20, and price-to-book above 1.
• The note treats turnover and fund strength as proxies for trading activity and investor attention.
• The author cautions that the screen omits other market and company factors and may rely on stale data.
• No backtest is provided, and the sample code is incomplete.

Tags

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