A-Share Screening by Volatility and Return–Large-Order Flow Alignment

Summary

This Chinese A-share screening proposal filters for stocks with an intraday range above 1% during 2021, then keeps observations where price change multiplied by an estimate of very large order flow is positive. The intended interpretation is that volatility identifies active names, while the sign of the return-flow product indicates whether large-order activity aligns with the price move. The post provides formula and Python examples, including an approximation of large-order net volume from turnover and price.

The implementation details are not fully consistent with the stated rule: the formula uses an intraday candle-body condition as a proxy, while the Python example derives flow from turnover and filters on return times that estimate. The author notes that valuation and other fundamentals are omitted and that order-flow measures are uncertain, suggesting additional fundamental or transaction data. No backtest results or evidence of profitability are reported; the 2021 period is specified as the selection window, not presented as performance evidence.

Key ideas

• The proposed screen combines an intraday range above 1% with a positive product of price change and estimated large-order flow.
• The rule is framed as identifying cases where order-flow direction agrees with the price move.
• The examples use different proxies for large-order activity, so the implementation may not match the stated concept precisely.
• The post flags omitted fundamentals and uncertainty in flow data, and gives no performance evidence.

Tags

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