A Stock Screen Combining Price Range and Large-Order Flows

Summary

The document describes a Chinese equity selection rule combining price movement and large-order net flows. It screens for stocks with an amplitude above 1, a closing price below 20, and positive large-order net volume for at least three consecutive days. It presents the flow condition as a possible sign of institutional interest and includes examples of implementing the screen in charting software and Python.

The article cautions that a short flow window may miss broader inflows and outflows, and that any single indicator can misrepresent uncertain market conditions. It suggests considering additional measures, such as institutional ownership, dividend yield, and PEG, over multiple time horizons. The examples have inconsistencies: the displayed formula does not clearly implement the stated three-day condition, and the Python selection steps are not fully aligned with the described logic. No backtest or performance evidence is provided, so the screen should be treated as a rough candidate filter rather than a demonstrated strategy.

Key ideas

• The proposed screen combines price amplitude, a price threshold, and consecutive positive large-order net flows.
• The article interprets persistent large-order inflows as a possible sign of institutional interest.
• It warns that a short flow window and single indicators can produce biased selections.
• The suggested refinement is to compare more indicators across longer time spans.
• The document provides implementation sketches but no evidence of realized or backtested performance.

Tags

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