A-Share Screen Using Price Range, Relative Volume, and Large-Order Activity

Summary

This note proposes a short-term A-share screen based on daily price range, relative volume, and a ranking for net large-order flow. The written rule calls for amplitude above one, relative volume between 1.5 and 6, and a high large-order net-volume ranking. The accompanying indicator sketch adds conditions involving price progress over a lookback period and a minimum volume level. The rationale is to find stocks with meaningful price movement and elevated, but not extreme, trading activity, alongside signs of active flows.

The note frames the approach as a speculative short-term strategy and highlights several limitations: large-order flows do not establish fundamental value, rapid turnover may raise trading costs, and the screen omits company fundamentals. It suggests adding technical or financial measures, but offers no tests or performance evidence. The sample code appears inconsistent with the stated rule: its range condition selects values below the described threshold, and its row-based calculations do not clearly implement rolling series logic. The screen therefore needs careful validation before use.

Key ideas

• The proposed screen combines price amplitude, bounded relative volume, and large-order net-flow ranking.
• The text describes the method as a short-term approach seeking active stocks.
• Large-order activity may indicate trading interest but does not demonstrate a stock's underlying value.
• Frequent trading can increase transaction costs, while the screen omits fundamental analysis.
• The sample code contains apparent mismatches with the written conditions and should be checked.

Tags

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