Chinese Stock Screen for Large-Order Buying and Price Amplitude

Summary

This Chinese stock-picking note describes a screen combining daily price amplitude, persistent positive net volume from large orders, and an indication that major investors controlled the stock on the previous day. Its stated rationale is to find active stocks where institutional buying may be present. The post also presents an example formula and sample Python logic, plus optional filters based on positive earnings per share and return on equity.

The strategy is a screening proposal rather than a documented trading system: it provides no backtest, performance figures, holding-period rules, or evidence that the buying signal predicts returns. The post cautions that large-investor activity can reflect short-term sentiment and says simple conditions cannot capture changing fundamentals or market environments. It suggests adding technical and fundamental filters and managing holding periods and risk. The example code’s operations and thresholds are not fully aligned with the written description, so implementation would require checking the data definitions and validating the screen before use.

Key ideas

• The screen combines price amplitude with several consecutive days of positive net volume from large orders.
• It also requires an indicator of major-investor control on the prior day.
• The post interprets these conditions as signs of trading activity and possible institutional participation.
• It warns that investor-flow signals do not establish a company’s underlying quality or value.
• The examples do not include performance tests or a complete trading and risk-management plan.

Tags

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