Chinese Stock Screen Combining Ten-Day Returns and Order Flow

Summary

This stock-selection post proposes a screen based on three conditions: reported position growth above 5%, the ratio of buyer-initiated to seller-initiated volume above 1.3, and a positive but capped return over the previous ten days. The intended interpretation is that position growth and order-flow imbalance indicate buying interest, while the return range favors stocks that have risen without making an exceptionally large move.

The post gives a rationale and sample filtering logic, but provides no backtest, return figures, or evidence that these signals work together. It acknowledges limited risk controls and warns that volatile markets, incorrect judgments, or insufficient trading volume can undermine the approach. Stop levels, position limits, and additional indicators are suggested as possible refinements, not evaluated methods. The screening rules also leave implementation details unclear, including the precise definition and data source for position growth and order-flow volume, as well as execution and transaction-cost assumptions.

Key ideas

• The screen combines position growth above 5%, an order-flow ratio above 1.3, and positive ten-day returns below 35%.\nThe order-flow ratio is presented as a proxy for buying interest.\nThe document does not report testing or performance results.\nIt notes that weak risk controls and low liquidity may impair the strategy.\nSuggested additions such as stop levels and position limits are not validated.

Tags

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