Chinese Stock Screening with ROE, Trading Range, and Large-Order Flow

Summary

This note describes a Chinese equity screen combining a minimum daily high–low range, consistently strong return on equity, and a ranking based on net large-order activity. The intended rationale is to find companies with a track record of profitability and enough price movement to trade, while using order-flow data as an additional signal of market interest. It also suggests expanding the screen with other financial and market measures rather than relying on one flow indicator.

The article provides illustrative formula and Python snippets, but they are templates with placeholder conditions for volatility, large-order flow, and ranking. The snippets do not fully specify a reproducible strategy, and some code details appear inconsistent with the stated logic. No historical test results, return estimates, or transaction-cost analysis are presented. The author flags that large-order data can be noisy and may obscure other drivers of price behavior. Treat the screen as an idea for further research, with precise data definitions, point-in-time fundamentals, and out-of-sample testing needed before trading.

Key ideas

• The screen combines a daily high–low range threshold with a history of strong ROE.
• Large-order net flow is used as a supplementary ranking signal for candidate stocks.
• The article recommends combining multiple factors and filtering noisy flow observations.
• The code examples contain placeholders and do not establish a complete, tested implementation.
• No performance evidence is given, so the screen requires independent validation.

Tags

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