Chinese Stock Screen Using Daily Range, Large-Order Flow, and Company Size
Summary
This Chinese stock selection proposal screens for shares with a daily amplitude above one, large-order net flow above 0.05 for at least three consecutive days, and a size measure of at least 200 million. The author presents amplitude and large-order flow as technical and capital-flow criteria, with the size threshold intended to add information about market standing and business strength. The post also includes sample formula and Python references, though the provided implementations do not appear to map cleanly onto every stated condition.
No backtest results or performance evidence are supplied. The author flags that size can vary over time and across industries, and suggests adding fundamental indicators such as revenue growth, profit growth, or dividends, as well as industry-aware size comparisons. The screen is therefore a preliminary selection rule rather than a fully specified trading strategy; it lacks portfolio, entry, exit, and risk-management rules.
Key ideas
- The screen combines daily price amplitude, sustained positive large-order net flow, and a minimum size threshold.
- The size condition is intended to supplement technical and capital-flow measures with a rough scale filter.
- The post provides example implementations, but the code may not consistently express the written selection logic.
- No empirical performance is reported, and the author notes that size comparisons can vary by time and industry.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.