Chinese Stock Screening with Large-Order Flow and Trading Range
Summary
The document presents a Chinese A-share screening rule combining price movement, large-order net volume, and company size. It selects stocks with an amplitude above 1, large-order net volume above 0.05 for at least three consecutive days, and circulating market capitalization above 10 billion yuan. The accompanying explanation treats amplitude as a measure that may help identify stocks during active markets, net volume as a possible sign of incoming capital, and capitalization as a rough indicator of market recognition.
The article offers a Python example and recommends adding other technical and fundamental measures, such as MACD, RSI, or valuation, then validating choices with long-term backtesting. It reports no performance results, and the sample calculation does not fully align with the written amplitude condition. The author also cautions that the selection rule is subjective and time-dependent, and that policy shifts and other market risks can affect its usefulness.
Key ideas
- The screen requires amplitude above 1 and large-order net volume above 0.05 for at least three consecutive days.
- It also requires circulating market capitalization above 10 billion yuan.
- The article interprets net order flow as a possible signal of capital entering a stock.
- It suggests combining the rule with other technical and fundamental measures and testing it over a long period.
- The article provides no performance evidence and warns that market conditions and policy can change the screen’s usefulness.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.