A-Share Screen Combining Moving Averages and Large-Order Flow

Summary

This proposed A-share selection method combines a price-amplitude threshold with aligned short-, medium-, and longer-term moving averages. It also filters on the product of the daily percentage price change and net volume attributed to very large orders, then limits candidates to a specified market segment and selects a fixed number. The stated rationale is to pair technical direction with a measure of trading activity.

The note supplies indicator definitions and sample Python logic, but reports no backtest, measured results, or evidence that the combined filters improve selection. It cautions that the screen leaves out company fundamentals, macroeconomic conditions, and other trading-flow measures, and that relying heavily on one day's large-order flow may be misleading. The examples are described as adaptable references; the threshold and ranking or selection process are not fully specified, and no robustness analysis is provided.

Key ideas

• The proposed screen combines price amplitude, moving-average alignment, and daily return multiplied by net very-large-order volume.
• The method then applies a market-segment filter and selects a limited number of stocks.
• The document provides indicator and code examples but no reported backtest or performance evidence.
• It identifies omitted fundamentals and macro conditions, as well as dependence on a single flow measure, as limitations.

Tags

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