Chinese Stock Screen Using Intraday Range, Limit-Ups, and Order Flow

Summary

This Chinese equity screening rule combines a daily price-range condition, a history of repeated limit-up moves over a 500-day window, and a ranking based on large-order net flow. The post describes calculating recent net buying and selling activity, ranking stocks, and optionally filtering by a net-flow ratio. It also provides example indicator formulas and a sample screening workflow, though the formulas and code do not align perfectly in every detail.

The author warns that order-flow measures can be incomplete or biased and that the screen omits fundamentals, making it sensitive to market swings and broad-market conditions. Suggested refinements include adding business and valuation measures and using quantitative or machine-learning analysis. No backtest results or performance evidence are supplied, so the screen is a rule description rather than evidence of profitability.

Key ideas

• The screen combines daily amplitude, at least two limit-up events within 500 days, and a large-order net-flow ranking.
• Net flow is described as a measure of buying versus selling activity, but the post cautions that it may be incomplete or biased.
• The examples include a recent net-flow ratio filter and a ranking cutoff.
• The author recommends adding fundamental measures and improving risk evaluation.
• The post provides no performance results or backtest evidence.

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