Stock Screening by Turnover, Order Flow, and the Ten-Day Moving Average

Summary

This Chinese equity screen selects stocks with turnover between 3% and 12%, an outside-to-inside trade ratio above 1.3, and an opening price near the ten-day moving average. The article treats turnover and the trade ratio as activity and liquidity signals, while proximity to the moving average is framed as a possible rebound setup. It also includes formula and Python examples intended to express those screening conditions.

The source has some inconsistencies: its headline omits the moving-average condition and specifies a different order-flow threshold, while the body gives the three filters above. Its formula example also uses a volume comparison rather than clearly implementing the stated outside-to-inside ratio. The article provides no backtest or outcome data, and its claim of screening accuracy is unsupported. It cautions that the screen can miss stocks that never return to the moving average and may include stocks affected by temporary price movements; additional indicators are suggested.

Key ideas

• The described screen combines turnover, an outside-to-inside trade ratio, and opening price proximity to the ten-day moving average.
• The article presents activity and price-location measures as clues about liquidity and possible rebound behavior.
• The headline, narrative, and formula examples do not fully agree on the conditions.
• No backtest or performance evidence is supplied.
• The screen may miss stocks that do not revisit the moving average and can be affected by temporary factors.

Tags

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