Chinese Stock Screening with Large-Order Flows and Moving Averages
Summary
This Chinese stock-screening note combines a large-order net-flow ranking with a moving-average trend filter. It proposes ranking stocks by large-order net volume, treated as a measure of buying pressure, and keeping those whose 20-day moving average is above the 120-day average. The stated final rule selects the top 100 by net flow before applying the moving-average condition. The idea is to focus on stocks with stronger recent buying activity and a short-term trend above the longer-term trend.
The post explains the rationale for each filter and includes a rudimentary code fragment about calculating strength, but the fragment is incomplete and does not provide a reproducible full implementation. It reports no backtest, performance figures, benchmark, or trading rules for entries, exits, and position sizing. The author cautions that order-flow measures can omit other price drivers, the resulting candidate list may need further review, and moving-average signals can be inaccurate. Turnover or volume analysis and additional screening are suggested as possible refinements.
Key ideas
- Rank stocks by large-order net volume as a proxy for buying pressure.
- Keep stocks whose 20-day moving average exceeds their 120-day moving average.
- The described selection rule combines the top 100 flow-ranked stocks with the moving-average filter.
- The post provides no performance evidence and warns that both flow measures and trend signals can be misleading.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.