Chinese Stock Screen Using Amplitude, Turnover, and Large-Order Flow

Summary

This Chinese A-share stock screen combines three conditions: daily amplitude above 1, prior-day actual turnover between 3% and 28%, and the product of percentage price change and estimated net large-order flow above 1. The article describes the idea as seeking active stocks with sufficient trading and signs of buying pressure. Its formula examples estimate large-order activity using volume at least twice a five-day average, then accumulate a price-and-volume measure over five days.

The article gives formula and Python examples, but they do not establish that the screen is profitable or provide backtest results. The author notes that large-order definitions and short-term price changes are uncertain, and that the rules omit company fundamentals and industry conditions. The examples also contain implementation ambiguities, including mismatched turnover descriptions and code that may not faithfully represent the stated criteria. Treat the screen as a rough signal proposal requiring careful data validation and testing.

Key ideas

• The screen requires amplitude above 1 and prior-day actual turnover between 3% and 28%.
• It also selects for a price-change measure multiplied by estimated large-order net flow above 1.
• The examples approximate large-order activity from unusually high volume and price movement.
• The article supplies no performance evidence and warns that the screen omits fundamental and industry factors.

Tags

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