Chinese Stock Screening with Intraday Buying Pressure and Trade Imbalance

Summary

This Chinese stock screener combines a daily range filter, afternoon large-order net inflow, and a ratio of aggressive buying volume to selling volume above 1.3. Among stocks that pass, it proposes selecting those with the strongest recent price gains. The accompanying discussion frames range and order-flow measures as ways to find active shares with favorable recent performance. It also suggests weighting the buying-to-selling ratio to reduce differences in how the measure behaves across stocks.

The document provides indicator formulas and illustrative code, but no backtest, performance statistics, or evidence that the filters predict returns. It cautions that liquidity, industry conditions, and company financial risks are not addressed, and that the calculation of external versus internal volume may vary. The examples also leave implementation details unclear: the prose refers to afternoon flows and choosing the strongest gainers, while the sample code uses daily data and its score does not clearly implement that ranking. Treat the rules as a screening hypothesis that needs careful data validation and testing.

Key ideas

• The screen combines price range, afternoon large-order inflow, and a buying-to-selling volume ratio above 1.3.
• It proposes ranking qualifying stocks by recent price gains.
• The author suggests weighting the volume ratio to improve cross-stock comparability.
• Liquidity, sector effects, company finances, and inconsistent volume calculations can affect results.
• The document offers formulas and sample code but no empirical performance evidence.

Tags

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