A-Share Screening with Intraday Range, Convertible-Bond Data, and Large-Order Flows

Summary

This post presents an A-share stock screen combining a daily price-range threshold, a nonempty convertible-bond name field, and a high ranking by large-order net volume. Its stated final selection rule takes the top 30 stocks by daily large-order net volume, subject to the other filters. The post also gives indicator and Python examples and describes the screen as a way to combine price activity with order-flow information.

The author warns that a flow-focused screen can exclude low-volume stocks that may still have value and can overstate the reliability of capital-flow indicators. The suggested improvements include adding volume, turnover value, and fundamental or technical measures. The examples contain additional filters and implementation details that do not fully align with the stated selection rule, so the post does not establish a consistent, validated strategy. It provides no backtest results or evidence of profitability.

Key ideas

• The stated screen combines a price-range condition, convertible-bond name data, and large-order net-flow ranking.
• The final rule selects the top 30 stocks by daily large-order net volume after applying the other conditions.
• The post identifies the risk of overlooking low-volume stocks and relying too heavily on flow measures.
• It suggests adding volume, turnover value, and further fundamental or technical factors.
• The supplied examples include filters beyond the stated rule, and no performance evidence is provided.

Tags

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