Chinese Stock Screen for Large-Order Inflows and Recent Price Strength

Summary

This article describes a Chinese equity screen combining daily price range, large-order net volume, and recent price performance. It selects stocks with amplitude above 1, large-order net volume above 0.05 for at least three consecutive days, and at least one session with a gain of 10% or more during the prior 25 trading days. The proposed rationale is that trading activity and large-order flows may reflect shifts in market sentiment, while a recent sharp rise may indicate upward momentum.

The article gives illustrative Python filtering logic, but its implementation does not cleanly match the stated rules: the amplitude test compares price gaps with the calculated range in a way that may exclude most observations, and the 25-day calculation checks the cumulative change from 25 sessions ago rather than whether any single day met the threshold. No backtest results or performance evidence are supplied. The author notes that the screen omits fundamentals and may capture short-lived themes, and suggests adding market, industry, and financial factors. The strategy is therefore a screening idea, not evidence of a proven return profile.

Key ideas

• The screen combines amplitude above 1 with large-order net volume above 0.05 for at least three consecutive days.
• It also requires a daily gain of at least 10% at some point within the previous 25 trading days.
• The author interprets trading activity and order flows as possible signals of sentiment and capital movement.
• The article provides code examples but no backtest evidence, and the sample calculations may not implement the stated conditions accurately.
• Fundamental, industry, and broader market factors are suggested as possible additions.

Tags

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