A-Share Stock Screen Using Daily Range, Large-Order Flow, and 10-Day Gains

Summary

This A-share screening approach combines a daily price-range threshold, ranking by net large-order volume, and a positive 10-day return capped below 35%. The stated goal is to find short- to medium-term opportunities among stocks already rising, using range and order-flow measures as signs of activity and sentiment. The document also gives a formula-style condition and a Python example that adds a turnover filter and checks historical prices. Those code examples do not implement the same screen exactly: the Python version uses turnover rate as a proxy and a high amount threshold, rather than directly ranking net large-order volume.

The author cautions that the screen omits company fundamentals and relies on a narrow set of indicators, so it may select overheated stocks or miss important risks. Suggested refinements include adding other technical measures and fundamental checks, then backtesting for stability. No performance results are presented, and the screen needs further evaluation before use.

Key ideas

• The screen looks for stocks with a daily range above a threshold and positive but limited 10-day returns.
• Ranking by net large-order volume is intended to reflect trading activity and sentiment.
• The Python example adds turnover and amount filters, which differ from the stated large-order ranking condition.
• The method ignores fundamentals and can expose users to chasing short-term price strength.
• The document recommends adding indicators and testing the revised screen, but reports no backtest results.

Tags

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