A Chinese Stock Screen Combining Price Range and Trading Flow

Summary

This proposed Chinese equity screen combines three conditions: the stock's intraday high-low range exceeds one percent of its closing price, the prior session was not limit-up, and the article's external-to-internal trading measure exceeds 1.3. The author frames the range and prior-session filter as ways to focus on active shares, while treating the flow ratio as a sign of buying interest. Passing the conditions is presented as a buy signal, with holding period left to the user's risk and return preferences.

The document provides indicator formulas and a Tushare-based example, but the formula descriptions and code do not clearly implement the same prior-session filter, and the flow proxy is not fully explained. It reports no backtest or performance evidence. The author notes that the screen omits company fundamentals and may be unreliable in unusual trading or volatile markets, and suggests adding technical and fundamental factors or optimizing weights. Those suggestions are not tested in the text.

Key ideas

• The screen selects shares using an intraday range threshold, a prior-session limit-up filter, and a trading-flow ratio threshold.
• The article treats the flow ratio as a proxy for buying interest and a possible market-hotness signal.
• It presents the resulting selection as a buy signal but leaves the holding period to the user.
• The example formulas and code do not clearly match on the prior-session filter and flow calculation.
• The article gives no performance results and warns that the screen omits fundamentals and may fail in unusual markets.

Tags

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