A-Share Stock Screen Using Volatility, Recent Limit-Ups, and Order Flow

Summary

The document presents a Chinese A-share screening rule that selects stocks with a daily high-low range exceeding one percent, at least one limit-up session in the prior 25 trading days, and a high ranking on a large-order net-volume measure. The combined conditions place qualifying stocks in a candidate investment pool. It gives reference formulas for a screening platform and Python examples that calculate the range, identify recent limit-up sessions, estimate a net-volume difference using moving averages, rank that measure, and filter the data.

The rationale is that larger ranges may indicate greater price movement, recent limit-ups may reflect favorable sentiment, and a strong large-order ranking may indicate substantial major-player participation. These are hypotheses rather than demonstrated effects: the document provides no backtest results or return statistics. It cautions that historical screening may not predict future performance, the factors omit valuation and industry context, and a high order-flow rank does not ensure investability. The screening calculations and assumptions also require validation before practical use.

Key ideas

• The screen requires a daily high-low range above one percent and at least one limit-up session in the preceding 25 trading days.
• It ranks stocks using a large-order net-volume measure and selects those in the top fifth of the ranking.
• The author associates the criteria with volatility, market sentiment, and participation by large traders.
• The document provides reference implementations in a Chinese stock screening platform and Python.
• It warns that historical conditions may not forecast future returns and that the factors omit other relevant information.

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