A Chinese Stock Screen Using Amplitude, Limit-Up Streaks, and Order Flow

Summary

The post presents a Chinese stock selection idea combining daily price range, a three-session limit-up streak, and an external-to-internal trading volume ratio above 1.3. It interprets a large range as elevated activity, repeated limit-ups as strong recent performance, and a high ratio as bullish market sentiment. It suggests adding company fundamentals and other sentiment measures, and adjusting the ratio threshold to affect how many stocks qualify and support diversification.

The page also includes sample code and describes the ratio as external volume divided by internal volume. However, its code uses futures contract data and fields that do not clearly match the stated stock screening criteria; its range calculation and streak logic may also differ from the written rules. The post supplies no backtest or return evidence, and its claims about flows and stock quality are interpretations rather than demonstrated findings. Readers should verify the data definitions and implement the stated conditions carefully before relying on the screen.

Key ideas

• The proposed screen combines a large price range, a three-session limit-up streak, and an external-to-internal volume ratio above 1.3.
• The post interprets these conditions as signs of volatility, recent strength, and bullish sentiment.
• It suggests adding fundamental data and other sentiment measures to broaden the selection process.
• The sample code appears to use futures data and may not implement the written stock rules consistently.
• No backtest or performance evidence is provided.

Tags

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