Stock Screening with Turnover, Float Size, and Afternoon Large-Order Flows

Summary

The note describes a Chinese stock screen using a turnover ratio between 3% and 12%, a circulating share count no greater than 5.5 billion shares, and positive net large-order flow in the afternoon. Its accompanying Python example applies corresponding filters to a data table. The rationale combines trading activity and float size with an order-flow measure intended to reflect market interest.

The author cautions that afternoon large-order net flow is a subjective, short-term sentiment measure with limited evidential strength. The note suggests adding valuation and other fundamental measures, and says investors should adapt the screen to their objectives, capital, and risk tolerance. It provides no backtest, performance results, or definition of how large orders and afternoon flow are measured. There is also a wording inconsistency: the initial criteria specify a turnover range, while the final restatement mentions only an upper bound. The screen is therefore a preliminary filter, not a validated selection strategy.

Key ideas

• The screen combines turnover between 3% and 12%, a stated float-size ceiling, and positive afternoon large-order net flow.
• The example applies the criteria as filters to stock data.
• The note treats large-order flow as a short-term sentiment signal with limited evidential value.
• It recommends supplementing the screen with fundamental measures and investor-specific review.
• No backtest or detailed measurement definitions are supplied.

Tags

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