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

Summary

This post describes a short-term A-share selection rule combining three filters: daily high-low range relative to the high, a closing price of 18.5 yuan, and positive large-order net flow for at least three consecutive days. The rationale is that larger price movement may identify active stocks, while sustained positive order flow may signal buying interest. The post also suggests adding fundamental and valuation measures and examining large-order flow in context.

It includes sample indicator logic and Python-style implementation guidance, but the examples do not consistently match the stated rule: the narrative threshold for amplitude differs from the formula’s percentage interpretation, and the sample data checks do not clearly calculate the stated net-flow threshold. The document gives no backtest, return figures, or evidence that the fixed price condition predicts gains. It explicitly cautions that the screen focuses on short-term upside and may overlook long-term value, while chasing recent moves can be risky.

Key ideas

• The screen combines a daily range threshold, a fixed closing price, and sustained positive large-order flow.
• The post interprets range as a measure of activity and positive order flow as possible buying interest.
• The author recommends adding fundamental and valuation inputs and checking order flow alongside other flow measures.
• The sample implementations appear inconsistent with parts of the stated rule, and no backtest evidence is provided.
• The post warns that a short-term screen may neglect long-term value and expose users to chasing risk.

Tags

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