Chinese Stock Screen Using Range, Float Size, and Buy-Sell Volume Ratio

Summary

This Chinese equity screening proposal selects stocks with a daily amplitude above 1, a tradable share count no greater than 5.5 billion, and an external-to-internal trading volume ratio above 1.3. The post treats larger amplitude as a source of short-term opportunity, the share-count ceiling as a small-cap filter, and a higher external volume share as a sign of stronger buying pressure. It includes formula and Python examples for calculating the filters and selecting a subset of qualifying stocks ranked by the volume ratio.

The post cautions that this rule set may depend heavily on current market conditions and ignores company fundamentals, potentially selecting expensive or weak businesses. It recommends considering market sentiment, technical conditions, and fundamental measures such as valuation and growth. Those additions are suggestions, not evaluated changes. The document gives no historical results, portfolio construction details, transaction-cost assumptions, or evidence that the order-flow proxy identifies institutional activity, so its profitability and robustness remain unestablished.

Key ideas

• The screen requires amplitude above 1 and a tradable share count at or below 5.5 billion.
• It also requires an external-to-internal volume ratio above 1.3.
• Qualifying stocks may be ranked by that volume ratio before selecting a subset.
• The post notes that the rules omit fundamentals and may vary in effectiveness with market conditions.
• No backtest or evidence linking the volume ratio to institutional activity is provided.

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