A Stock Screen Combining Price Range, Limit-Up History, and Order Flow
Summary
This Chinese stock-selection proposal combines three technical conditions: daily price amplitude above 1%, at least two limit-up events within 500 days, and a reported external-to-internal volume ratio above 1.3. The document interprets the first two conditions as measures of price activity and prior sharp advances, while the volume ratio is presented as a rough indicator of buying pressure. It provides formula examples and sample code for filtering and ranking candidates, and suggests adding further indicators such as Bollinger Bands or MACD.
The article offers no backtest or performance evidence. It warns that technical-only selection can overlook company fundamentals and that the volume ratio depends on how it is calculated and on the observation window. The code appears to operationalize some conditions differently from the prose, including using average amplitude and order-flow data, so the definitions and implementation should be reconciled before research use. The strategy also lacks entry, exit, sizing, and portfolio-level risk rules.
Key ideas
- The proposed screen requires amplitude above 1%, two or more limit-up events within 500 days, and an external-to-internal volume ratio above 1.3.\nThe article treats price activity and historical limit-ups as technical filters and the volume ratio as a buying-pressure proxy.\nIt provides formulas and sample code but no performance or backtest results.\nThe volume-ratio measure may vary with its time window and calculation method.\nThe sample implementation differs from parts of the stated logic and needs validation before use.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.