A-Share Screen Using Price Range, Large-Order Flow, and 2021 Conditions

Summary

This post describes a short-term A-share stock screen based on daily price amplitude above 1%, ranking by net large-order volume, and a reference to 2021 market conditions. It frames amplitude and large-order flow as measures of trading activity and sentiment. A formula example defines price amplitude relative to the previous close and includes a nonzero trading-amount condition; the Python example further applies turnover and trading-amount filters while checking that a date falls in 2021.

The post cautions that the screen ignores long-term business quality and fundamentals, and that a single year's market regime may not generalize. It recommends adding technical and fundamental measures and testing across historical data. The description is internally inconsistent: its date references conflict, and the formula does not explicitly encode a large-order ranking. No performance results are supplied, so the idea remains an unvalidated short-horizon filter requiring clearer definitions and robust testing.

Key ideas

• The proposed screen combines daily amplitude above 1% with a ranking based on net large-order volume.
• The examples also use trading activity filters and refer to 2021 market data.
• The post warns that the rules omit fundamental quality and may depend on a specific market regime.
• The date references and implementation details conflict, and no backtest results are reported.

Tags

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