A Chinese Stock Screen Using Intraday Gain, Range, and Order-Flow Proxies

Summary

The document proposes a short-term stock screen combining price movement with trading activity. It selects shares whose amplitude exceeds a threshold, whose price at the 9:25 observation is below a stated gain limit, and whose external-to-internal volume ratio exceeds 1.3; it also requires external volume to exceed internal volume. The post gives a formula reference and a Python example intended to retrieve stock, tick, and money-flow data, then filter candidates.

The author frames the volume measures as possible indications of buying and selling pressure and notes that the screen may fail to adapt to changing market conditions. The post also cautions that the indicators can be inaccurate and suggests combining them with market and company analysis or additional factors. It provides no backtest methodology, performance series, transaction-cost analysis, or evidence that the signal predicts returns. The sample code’s data fields and filtering steps should be checked against the data provider’s definitions before use, and the screen is presented as a candidate-selection idea rather than a validated strategy.

Key ideas

• The proposed screen combines price amplitude, a 9:25 price change, and external-to-internal volume measures.
• The stated order-flow filter requires a ratio above 1.3 and external volume greater than internal volume.
• The author treats these volume measures as proxies for buying and selling pressure.
• The post warns that indicator accuracy and changing market conditions can undermine the screen.
• No empirical performance or trading-cost evidence is provided.

Tags

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