Chinese Stock Screen Using Amplitude and Large-Order Flows

Summary

The document proposes a Chinese stock selection rule combining price activity and large-order flow. It screens for stocks with an amplitude above a stated threshold, excludes stocks that hit the upper limit on the previous day, and selects when the product of the price change and very large-order net flow exceeds a stated monetary threshold. The rationale is that active price movement paired with substantial large-order buying may indicate market attention. It also includes example indicator logic and a Python-style data workflow.

The text warns that the screen omits company fundamentals and may include low-quality firms. It notes that using current-day trading data can make timely data handling difficult for non-high-frequency users. It suggests adding fundamental and technical filters or optimizing factor weights with machine learning, but supplies no backtest, performance evidence, or validation of the rule. The code and stated thresholds also warrant careful checking before use.

Key ideas

• The screen combines price amplitude, prior-day limit status, price change, and large-order net flow.
• It interprets strong large-order flow alongside price movement as a possible sign of buying interest.
• The rule omits company fundamentals and may select low-quality stocks.
• Its use depends on timely trading data, and no backtest results are provided.
• The document suggests adding more factors or optimizing factor weights.

Tags

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