A-Share Stock Screen Using Intraday Activity and Large-Order Flow

Summary

This stock-selection screen combines price movement, trading activity, and large-order flow. It selects A-share stocks whose daily amplitude exceeds a threshold, whose prior-day turnover rate scaled by the ratio of current auction volume to prior-day volume falls within a specified band, and whose return has the same sign as net buying by very large orders. The accompanying discussion interprets these conditions as measures of volatility, activity, and large-investor sentiment.

The source characterizes the approach as short-term and warns that news can make returns and large-order flow unstable. It offers no reported backtest results or evidence that the filters predict returns reliably. It suggests further evaluation with valuation, news, or technical factors, but does not specify how to combine them or establish that they improve performance. The sample code also does not fully document how its data fields and calculations correspond to the stated screen, so implementation details warrant scrutiny.

Key ideas

• The screen combines price amplitude, a turnover and auction-volume condition, and large-order net flow.
• The return and net large-order flow must have matching signs for a stock to qualify.
• The rationale links these inputs to volatility, trading activity, and large-investor sentiment.
• The source warns that the short-term signals can be disrupted by market news.
• No backtest evidence is presented, and the code’s correspondence to the stated conditions is not fully explained.

Tags

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