Stock Screening with Turnover, Large-Order Flow, and Recent Limit-Ups

Summary

This Chinese stock-screening strategy selects shares with turnover between 3% and 12%, a positive product of price change and large-order net buying, and at least one limit-up event in the recent month. The article presents these filters as a combination of liquidity, capital attention, and recent price strength. Its sample formulas add further conditions, including volume and price-position checks, while its Python example ranks selected stocks using a separate weight based on average turnover and volume relative to price.

The examples do not align perfectly: the written rule describes a recent limit-up, while the formulas add other price and return constraints, and the code uses buy volume as a proxy for order flow. No backtest or measured results establish that the screen has predictive value. The author notes that the approach omits fundamental analysis, may select overheated stocks after a limit-up, and can be sensitive to market mood. Additional indicators and stronger controls in volatile markets are suggested, but not evaluated.

Key ideas

• The core screen combines 3%–12% turnover, positive price-change times large-order net flow, and a recent limit-up event.
• The strategy treats turnover, order flow, and limit-up history as proxies for liquidity, investor attention, and price strength.
• The code examples add conditions and ranking details that differ from the basic written rule.
• The document reports no backtest or performance evidence and warns about overheating and sentiment risk.
• It proposes adding technical indicators and adjusting risk controls to market conditions.

Tags

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