Chinese Stock Screen Using Buying Flow and Moving-Average Trend

Summary

This document describes a Chinese stock selection screen combining buying-flow measures with a moving-average trend filter. Its stated conditions include today’s position-increase ratio above 5%, large-order net volume above 0.05 for at least three consecutive days, and the 20-day moving average above the 120-day average. The final proposed screen adds valuation limits of a price-to-earnings ratio below 30 and a price-to-book ratio below 2.

The article explains the intended interpretation of each condition: buying activity may indicate demand, persistent large-order flow may signal active capital, and the moving-average relationship represents stronger short-term than long-term trend. It cautions that flow measures can be misleading and that a short-term rebound may not persist. It suggests adding fundamental filters, using systematic execution, and reviewing the strategy as markets change. No backtest results or performance evidence are provided, and the sample code’s calculations may not faithfully implement the stated order-flow conditions; the screen is presented as an idea requiring further validation.

Key ideas

• The screen combines recent buying-flow conditions with a short-versus-long moving-average trend filter.
• The proposed final rules also cap valuation using price-to-earnings and price-to-book ratios.
• The article warns that apparent buying activity can reflect distribution or non-genuine trading.
• A moving-average crossover condition may capture only a temporary rebound rather than a lasting trend.
• The document provides no performance results, so the rules require independent testing and review.

Tags

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