Chinese Stock Screen Using Amplitude, Large-Order Ranking, and Price Change
Summary
This short-term Chinese equity screen combines daily price amplitude, a large-order net-flow ranking, and a bounded daily price change. It selects stocks with amplitude above 1%, a large-order measure at or above the stated threshold, and price change below 2.6% but above −5%. The accompanying indicator example sorts candidates by turnover rate, adding a liquidity-related ranking step to the filters.
The post explains the conditions and gives formula and sample selection logic, but it provides no historical performance evidence. Its sample implementation uses stock data and a large-order proxy, whose availability and interpretation may affect results. The author cautions that technical indicators alone ignore company fundamentals and broader market conditions, particularly problematic during uncertain markets. Suggested improvements include combining technical signals with fundamental and market information and adding risk constraints; the screen should therefore be treated as a candidate-generation rule rather than a complete trading system.
Key ideas
- The screen filters for amplitude above 1% and a daily price change between −5% and 2.6%.
- A large-order net-flow measure is used to rank or qualify candidates.
- The example sorts selected stocks by turnover rate in ascending order.
- The post provides no backtest results, and the flow proxy may be difficult to interpret.
- Fundamental analysis and broader market conditions are absent from the basic screen.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.