Chinese Stock Screen Combining Volatility, Dividends, and Large-Order Flow

Summary

The document describes a Chinese equity screen that combines three conditions: daily amplitude above 1%, a 2019 dividend ratio above 25%, and large-order net volume above 0.05 for at least three consecutive days. It presents amplitude as a measure of price movement, the dividend condition as a fundamental indicator, and persistent positive large-order flow as a possible sign of institutional buying. It also gives example formulas and a Python outline for applying the conditions.

The post does not provide backtest results or evidence that the combined screen predicts gains. It cautions that positive large-order flow does not ensure prices will rise and could reflect institution-driven activity that increases risk. It recommends adding broader fundamental and industry analysis, adapting screening conditions and trading frequency, and considering asset allocation and risk controls. The examples identify a particular dividend year and depend on the availability and interpretation of market data, so the stated rules alone do not establish a robust or current strategy.

Key ideas

• The screen requires amplitude above 1%, a 2019 dividend ratio above 25%, and positive large-order net volume above 0.05 for three or more consecutive days.
• The selection rules combine a price movement measure, a dividend measure, and a large-order flow measure.
• The post warns that sustained positive large-order flow does not guarantee an increase in share price.
• Broader fundamental and industry analysis, along with risk controls, are suggested as possible improvements.

Tags

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