Chinese Stock Screening with Range, Volume, Gap, and Order-Flow Filters

Summary

The document proposes a short-term stock screen using four conditions: amplitude above 1, current volume above 10,000 lots, an opening price above the prior close, and an outside-to-inside volume ratio above 1.3. It frames range and volume as ways to find active shares and the order-flow ratio as a rough indication of buying versus selling pressure. It also suggests adding valuation and profitability measures, company and industry review, and macroeconomic context.

The page includes an indicator formula and a Python example, but the implementation does not exactly mirror the stated screen: the example uses data over a historical period for its order-flow ratio and checks that the latest open is below the latest close. The text itself cautions that technical filters can overlook fundamentals and that the outside/inside ratio may not fully represent capital flows. It provides no backtest results or evidence that the proposed screen is profitable.

Key ideas

• The proposed screen combines price range, current volume, a gap-up open, and an outside-to-inside volume ratio threshold.
• The strategy is presented as a technical and order-flow filter for short-term stock selection.
• The document recommends adding valuation, profitability, company, industry, and macroeconomic analysis.
• It cautions that the order-flow ratio is an imperfect proxy and supplies no performance evidence.

Tags

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