Chinese Stock Screening with Intraday Range, Volume, and Large-Order Flow

Summary

This note describes a Chinese equity screen combining daily amplitude above 1, volume above 10,000 lots, a higher open than the prior close, and the sign of the product of daily return and net large-order volume. A positive product is presented as a favorable signal and a negative product as an unfavorable one. The proposed logic uses price movement and trading activity to identify stocks with active large-order participation.

The document discusses limitations of relying mainly on technical and flow data: the screen omits company fundamentals and macroeconomic conditions, while amplitude and daily returns can reflect market sentiment. It suggests adding valuation and profitability measures, industry and macro analysis, other fund-flow data, and longer-term trend indicators. It supplies formula and Python examples, but no backtest, performance evidence, or validation of the thresholds; the stated selection logic and code details may also differ in places.

Key ideas

• The screen combines amplitude, volume, a higher open, and the interaction between daily return and large-order net volume.
• A positive return-flow product is labeled favorable, while a negative product is labeled unfavorable.
• The document warns that technical and flow signals omit fundamental and macroeconomic risks.
• It proposes adding financial ratios, industry context, other flow measures, and trend indicators.
• No backtest or evidence establishes that the thresholds improve investment results.

Tags

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