Chinese Stock Screening with Price Range, Prior Limit-Up, and Fund Flow

Summary

This article proposes a Chinese equity screen that looks for stocks with a daily high-low range above a threshold, no limit-up close on the previous day, and signs of large-investor control. It gives an indicator formula for price range and a sample Python routine that checks recent price changes and money-flow fields before selecting stocks.

The rationale is to favor shares with some volatility while avoiding those recently driven to a price limit, then use estimated institutional flows as an additional filter. The article cautions that the screen omits company fundamentals and financial data, and that inferred main-investor activity may be unreliable or affected by unpredictable factors. It suggests adding fundamental, sector, and technical inputs, but supplies no backtest results or evidence that the screen is profitable. The sample implementation and stated final logic are not fully aligned, so the precise rules would need clarification before evaluation.

Key ideas

• The proposed screen combines daily price range, prior-day limit-up status, and a proxy for large-investor activity.
• The article offers indicator and Python examples for translating some of these filters into a stock selection routine.
• It argues that volatility can help identify active stocks while a prior-day limit-up exclusion may avoid short-term speculative effects.
• The author warns that investor-flow estimates can be unreliable and that fundamentals are missing.
• No performance test is presented, and the examples do not completely match the described screen.

Tags

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