Stock Screening with Turnover, Large-Order Flow, and an Arc Pattern

Summary

The document outlines a Chinese-equity screening idea that combines daily turnover between 3% and 12%, a positive product of price change and net large-order volume, and a rounded or arc-like candlestick condition. It presents sample formula and Python implementations, with the Python example adding filters such as recent turnover, market capitalization, and a comparison between current and earlier closing prices. The article frames turnover as a liquidity and activity measure and large-order flow as a clue to market participation.

No backtest results or performance evidence are provided. The author cautions that the screen may miss stocks with other sources of value and says the arc pattern needs validation; fundamental and broader market factors are not incorporated. The examples also differ in their conditions, including turnover thresholds, so the stated screen and code should not be assumed to match exactly. The pattern definitions and data fields would need checking, followed by out-of-sample testing and risk controls before use.

Key ideas

• The proposed screen combines a turnover band, price change multiplied by net large-order flow, and an arc-like candle condition.
• The Python example adds extra filters beyond the core screening description.
• The document provides implementation examples but no evidence of historical or live performance.
• The author identifies pattern validity and omitted fundamentals as limitations.
• The prose and code contain differing conditions that should be reconciled before testing.

Tags

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