Chinese Stock Screening with Amplitude, Limit-Ups, and Large-Order Flow

Summary

This stock-selection rule builds a candidate pool from shares with daily price amplitude above 1%, at least one limit-up event in the prior 25 days, and a product of price change and a large-order flow measure above a threshold. The accompanying rationale treats higher amplitude as a sign of movement potential, prior limit-ups as a price-pattern feature, and the combined return and order-flow condition as evidence of buying interest. It includes formula and Python examples for applying the filters to Chinese stocks.

The article acknowledges that the screen may adapt poorly to different price patterns and market conditions, and that volatile selections can carry substantial risk. It suggests adding technical and fundamental filters and adjusting the portfolio logic over time. The examples do not present a defined holding or exit rule, transaction-cost treatment, benchmark, or measured backtest results. The text also uses different proxy calculations in its formula and Python sections, so the precise operational definition of the large-order condition requires care.

Key ideas

• The screen requires daily amplitude above 1% and at least one limit-up event in the preceding 25 days.
• It also requires the product of price change and a large-order flow proxy to exceed a threshold.
• The article presents both indicator-formula and Python examples for forming the candidate pool.
• The author warns that the selection logic may perform unevenly across market regimes and can select highly volatile stocks.
• The examples do not establish strategy profitability or specify complete entry, exit, and transaction-cost rules.

Tags

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