Chinese Stock Screening with Price Range, Order Flow, and Institutional Buying

Summary

This post describes a Chinese stock screen combining daily price range with order-flow and institutional activity signals. Its indicator rules flag a bar whose high-to-low range exceeds one percent of the previous close, then apply measures related to large-order net flow and institutional buying or participation. The example also sorts candidates by auction trading amount and selects a small group of stocks.

The post presents the screen as a way to find volatile stocks with signs of institutional interest, while warning that it gives limited attention to company fundamentals and broader market conditions. It suggests adding technical, fundamental, industry, and market context. The supplied examples are implementation references rather than validated research: the Python sample relies on external data functions and a narrow historical data request, and the post provides no performance results or out-of-sample evidence. The indicators’ construction and ranking details are not fully explained, so the approach would need careful data checks and testing before use.

Key ideas

• The screen combines a price-range threshold with large-order flow and institutional activity measures.
• It identifies candidate bars when their high-to-low range exceeds one percent of the previous close.
• The example ranks screened names using auction trading amount and keeps a limited set of stocks.
• The post acknowledges that the method omits substantial fundamental and market context.
• The examples do not establish strategy performance or explain all signal definitions.

Tags

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