Chinese Stock Screening with Large-Order Flows and Persistent ROE

Summary

This Chinese stock-selection post combines three filters: daily amplitude above 1, large-order net volume above 0.05 for at least three consecutive days, and return on equity above 15% for five consecutive years. It presents the combination as a way to pair trading activity and price movement with sustained business profitability. The post includes illustrative Python-style calculations for rolling net volume and historical ROE, though the rolling windows shown do not clearly establish five annual observations.

The author identifies a narrow fundamental screen and reliance on trading data as limitations, noting that debt, return on assets, and other financial measures are omitted. Suggested refinements include adding valuation and industry information and considering other financial factors. No backtest, performance figures, or validation evidence is provided, so the selection rationale remains a proposal rather than demonstrated evidence of returns.

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 ROE above 15% across five consecutive years.
• The author combines trading activity with a measure of sustained profitability.
• The post flags that omitting debt, ROA, valuation, and industry context may weaken the screen.
• No backtest or performance evidence is supplied.

Tags

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