Chinese Stock Screen Combining Moving-Average Convergence, Order Flow, and Limit Ups

Summary

This proposed Chinese stock screen combines three filters: at least five moving averages converging at one level, a high ranking on a large-order net-volume measure, and at least two limit-up sessions within a 500-day lookback. The moving averages named are 5, 10, 20, 60, and 120 days. The order-flow measure is described as the difference between active buying and active selling volume on five-minute bars, with the screen retaining the top 100 stocks. The article presents convergence as a possible support or resistance area and the other filters as signs of trading activity and prior market attention.

The article supplies a conceptual explanation and a partial Python sketch, but no backtest or measured returns. The code is truncated and does not show a complete implementation; its examples also do not clearly establish how moving-average convergence or the ranking cutoff is calculated. The author acknowledges that the conditions are simple and omit market regime and company fundamentals, so the proposed upside rationale remains unverified.

Key ideas

• The screen requires five moving averages, from 5 to 120 days, to converge near one level.
• It adds a top-100 ranking by net active buying versus selling volume on five-minute bars.
• A further filter requires at least two limit-up sessions during the prior 500 days.
• The article offers no performance evidence, and its code example is incomplete.

Tags

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