A-Share Stock Screen Using Price, Range, and Large-Order Flow

Summary

This post describes an A-share screening rule that combines daily price movement, trading range, and a measure of large-order net flow. The stated criteria are an amplitude above one, a share price of 18.5 yuan, and a product of price change and very large order net volume above 100 million. The post frames these filters as a way to identify volatile stocks with a particular price level and strong trading interest.

It also provides indicator and Python examples, but the code does not consistently implement the prose: some filters use different price-change thresholds or calculate flow differently. The write-up itself flags that strict conditions may narrow the candidate set and that a single product threshold can hide details about price changes and order flow. It suggests adding fundamentals, other indicators, and more detailed flow analysis. No historical test, trade results, or evidence of predictive value is supplied, so the screen is an illustrative rule rather than a validated strategy.

Key ideas

• The proposed screen combines price range, share price, and large-order flow conditions.
• The prose specifies a price of 18.5 yuan and a flow-related product threshold above 100 million.
• The code examples do not fully align with the prose description.
• The post cautions that restrictive filters and a single combined threshold may obscure useful detail.
• No backtest or live performance evidence is presented.

Tags

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