Chinese Stock Screening with Amplitude and Large-Order Net Buying

Summary

This stock selection rule combines daily price movement with a measure of large-order trading. It selects shares whose amplitude exceeds 1, whose large-order net volume stays above 0.05 for at least three days, and whose prior session was not limit-up. The article presents the screen as a way to identify stocks with notable movement and sustained net buying while avoiding those that hit the previous day’s price limit.

The document describes the conditions and provides formula and Python examples, but it gives no backtest results or evidence that the screen predicts returns. It also notes that relying on technical signals can miss macroeconomic, sector, and company fundamentals. The sample code adds EPS and ROE filters as possible fundamental checks, though these are not part of the stated core rule. The thresholds and implementation details should be independently checked before use.

Key ideas

• The screen requires amplitude above 1 and large-order net volume above 0.05 for at least three days.
• It excludes stocks that were limit-up in the prior session.
• The article proposes adding company fundamentals and industry information to broaden the screen.
• No performance evidence is provided, and the examples may require validation.

Tags

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