Chinese Stock Screen: Capital Inflow, Buy-Sell Volume, and Limit-Up History

Summary

This post presents a Chinese stock selection screen using three stated filters: today’s increase in position share above 5%, external volume divided by internal volume above 1.3, and at least two limit-up days within the past 500 days. The author interprets these conditions as signs of capital interest, trading activity, and past price strength. It also suggests adding fundamental, technical, and quantitative risk measures, though those additions are not defined as operational rules.

The post supplies example Python routines for loading price, trend, and volume data and calculating moving averages, rolling statistics, RSI, and EMA. It does not show a complete, executable implementation of the screen, a backtest, or performance evidence. The author notes that volume measures may not reflect true value and that the screen omits longer-term trends and fundamentals; the proposed thresholds and interpretation therefore require independent validation.

Key ideas

• The screen combines a capital-inflow threshold, a buy-side versus sell-side volume ratio, and past limit-up frequency.
• The stated filters are today’s position-share increase above 5%, a volume ratio above 1.3, and at least two limit-ups in 500 days.
• The post suggests considering fundamentals, trend indicators, and risk measures as additional inputs.
• Example routines calculate moving averages, rolling statistics, RSI, and EMA, but do not establish tested performance.
• Volume-based signals can be imperfect and the screen may overlook long-term trends and company fundamentals.

Tags

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