A Stock Screen Combining Price Movement and Large-Order Flow

Summary

The document proposes screening Chinese equities using price range, a low-price cutoff, positive returns, and large-order trading data. Its refined factor multiplies the open-to-close move, scaled by the low price, by the share of volume attributed to large buy orders. It also describes a separate formula-based approach using turnover, price changes, and lagged large-order net volume. These descriptions do not align exactly: the initial screen mentions amplitude and a K-line threshold, while the later Python example applies different conditions, so an implementation would need its rules reconciled.

The rationale is that price movement combined with large-order activity may help identify stocks with buying pressure. The post offers no performance results or backtest evidence. It cautions that changing market conditions can weaken the signal and suggests adding fundamental data or machine-learning methods, but does not specify or evaluate those extensions.

Key ideas

• The proposed screen combines price movement with large-order trading activity.
• A refined factor weights the open-to-close move by the proportion of volume from large buy orders.
• The post provides alternative formula descriptions that do not fully agree, so the intended rules are ambiguous.
• No backtest results are given, and the author notes that market conditions may affect the screen.

Tags

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