A-Share Momentum Screen Using Range, Limit-Up Pattern, and Large-Order Flow
Summary
This proposed A-share screen combines daily amplitude above 1, exclusion of ST-designated stocks, a five-session limit-up pattern, and large-order net flow above 0.05 for at least three consecutive days. The post describes large-order net flow as a difference between large buy and sell activity, normalized in its code by volume, and uses sustained positive readings as a proxy for market participants’ trading activity. It recommends cross-checking with additional technical, fundamental, and market information, and adjusting the net-flow threshold to conditions.
No backtest or performance evidence is presented, and the phrase describing the limit-up method is not fully specified. The post notes that order-flow data can be delayed, noisy, and unrepresentative of whole-session activity; positive readings do not prove that large investors are entering for the first time. The screen’s criteria also need precise definitions and validation before they can support trading decisions.
Key ideas
- The proposed screen combines price amplitude, ST exclusion, a five-session limit-up condition, and sustained positive large-order net flow.\nThe post treats net large-order flow as a proxy for trading activity, not proof of investor intent.\nIt recommends cross-checking the signal with other market and company measures.\nDelayed or noisy order-flow readings can create false signals or late entries.\nThe document gives no performance test and leaves parts of the limit-up rule underspecified.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.