A-Share Screen Combining Price Range and Large-Order Net Volume

Summary

This A-share selection method screens for stocks with an intraday high-low range above one percent, excludes names associated with Beijing and several other location terms, and ranks candidates by large-order net volume. The article frames range as a measure of price movement and net volume as an indication of buying pressure. It offers formula and Python examples, then broadens the proposed approach to consider additional factors and market trends.

No backtest or evidence of predictive performance is reported. The article itself notes that a single flow measure may reflect concentrated investor preferences and that a large range can arise from speculative or unusual market conditions. Its written description emphasizes ranking by net volume, while the example conditions primarily test whether net volume is positive, so implementation should resolve that distinction. The filters and name-based exclusions are specific to the cited A-share context.

Key ideas

• The screen uses a price range threshold, name-based regional exclusions, and large-order net volume.
• The stated selection logic ranks stocks with stronger net-volume readings.
• The code example checks for positive net volume, which differs from ranking by that measure.
• The article cautions that range and order-flow signals can be noisy and recommends combining factors.

Tags

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