Stock Screening with Turnover, Order Flow, and Positive Returns

Summary

The document describes a Chinese stock-selection screen combining turnover, order-flow imbalance, and positive returns. Its stated selection logic looks for stocks with turnover between 3% and 12%, an external-to-internal volume ratio above 1.3, and positive net change. The accompanying Python example applies those conditions to the latest row for each stock. The article presents the combination as a way to consider trading activity alongside returns.

It warns that the screen may miss low-volume stocks with strong returns and may select heavily traded stocks with weak prospects; policy uncertainty is also mentioned. It suggests adding industry or valuation criteria. The reference SQL contains several additional filters and conditions that do not match the stated core logic, so the examples should not be assumed to implement one consistent strategy. No backtest results or evidence of profitability are provided.

Key ideas

• The stated screen requires turnover from 3% to 12%, an external-to-internal volume ratio above 1.3, and positive returns.
• The Python example evaluates the latest available observation for each stock.
• The article frames turnover and order flow as additional filters alongside return direction.
• The screen can miss lower-volume winners and include active stocks with weak returns.
• The SQL example contains extra conditions that differ from the stated selection logic.

Tags

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