Chinese Stock Screening with Amplitude, Control Changes, and Order Flow

Summary

This document presents a short-term Chinese stock screen combining daily price amplitude, a measure labeled daily control change, and the ratio of outside to inside trading volume. Its stated final rules require amplitude above 1, an absolute control-change measure above 21, an outside-to-inside ratio above 1.3, and inclusion in the main-board universe. A Python example sorts qualifying stocks by a funds-flow rank.

The rationale is that larger price movement and stronger buying-side flow may identify stocks with near-term upside. The article recommends adding fundamental indicators, other flow measures, and stop-loss rules, and evaluating the strategy through backtesting and live trading. It supplies no performance results or validation. The threshold descriptions and code use differing scales for some measures, so implementation requires careful interpretation of the data definitions and units; short-term flow signals may also fail when market conditions change.

Key ideas

• The screen combines price amplitude, daily control change, and an outside-to-inside trading ratio.
• The final selection rules also restrict candidates to main-board stocks.
• A code example ranks qualifying names by a funds-flow measure.
• The author suggests adding fundamentals, other indicators, and stop-loss rules.
• No backtest results are supplied, and metric definitions and units need verification.

Tags

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