Chinese Stock Screen Combining Price Range, Five-Day Average, and Order Activity

Summary

This note proposes a short-term Chinese equity screen that combines daily price amplitude, price above the five-day moving average, and a price-change measure multiplied by a proxy for large-order activity. The intended interpretation is that substantial movement, near-term price strength, and elevated trading activity together may indicate momentum. The document includes sample indicator and Python implementations, but the order-flow component is represented by volume or amount relative to a moving average rather than a clearly defined net large-order measure.

The author says the screen emphasizes technical and trading-flow information and does not account for company fundamentals. Fundamental review, stop-loss and take-profit rules, and position sizing are suggested as possible risk controls. No historical test, benchmark comparison, or performance evidence is reported. The example formulas use inconsistent threshold scaling and data fields, so their exact conditions would need to be reconciled before implementation; the screen should be treated as an unvalidated selection hypothesis.

Key ideas

• The proposed screen requires price amplitude above a threshold and price above its five-day moving average.
• It combines absolute price change with a proxy for unusually high trading activity.
• The examples use different scales and proxies, so the intended threshold and order-flow definition are ambiguous.
• The note provides no backtest evidence and advises considering fundamentals and risk controls.

Tags

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