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

Summary

The document proposes a Chinese stock selection rule combining current turnover rate, the ratio of external to internal trading volume, and a prior-day opening-auction price condition. It then ranks qualifying stocks by current auction turnover and selects the top five. The article includes example screening logic and Python-style implementation references, though the narrative and examples do not align perfectly on the precise prior-day price test or strictness of the turnover thresholds.

The author presents the combination as a way to filter for active stocks with buying pressure after a sharp prior decline. No backtest results or performance evidence are supplied. The discussion warns that technical and order-flow filters cannot predict market outcomes, and recommends considering fundamentals, industries, market conditions and policy changes. The rule should therefore be treated as a screening idea requiring careful definition and independent testing, not as evidence of a reliable or profitable strategy.

Key ideas

• The screen combines a turnover-rate range with an external-to-internal volume ratio above 1.3.
• It also requires a prior-day opening-auction price condition related to a limit-down move.
• Qualifying stocks are ranked by auction turnover, with the top five selected.
• The article provides implementation references but no backtest evidence.
• The written rule and code examples differ in some condition details, which need resolution before use.

Tags

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