Stock Screening with Turnover, Order Flow, and Prior-Day Limit-Down Price

Summary

This Chinese-market stock screen combines three conditions: turnover between 3% and 12%, a positive product of the current day's price change and net large-order volume, and a prior-day 9:15 matching price at the limit-down level. The accompanying explanation interprets turnover as a measure of activity and the order-flow condition as a rough indication of market energy or capital flows. It suggests the prior limit-down event may identify stocks where support could emerge.

The post also gives sample Python screening logic and notes that the data must include price, turnover, volume, and net-order fields. Its example tests whether the prior close equals the current low, which does not clearly match the stated 9:15 matching-price condition. No performance results or empirical validation are supplied. The author warns that the screen ignores company fundamentals and that limit-down stocks carry risk, recommending additional checks such as profitability, valuation, growth, turnover, and net cash flow.

Key ideas

• The screen requires turnover between 3% and 12%.
• It also requires the product of daily price change and net large-order volume to be positive.
• A prior-day 9:15 matching price at limit down is the final stated selection condition.
• The sample code uses a low-price comparison that may not faithfully implement the stated matching-price rule.
• The post offers no performance evidence and advises adding fundamental and cash-flow checks.

Tags

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