Chinese Stock Screening with Volatility, Large-Order Flow, and Float Size

Summary

This note describes a Chinese equity screening rule that combines daily price range, a ranking based on net large-order volume, and a cap on circulating shares. It presents the combination as a way to find smaller stocks with active trading and short-term price movement. A formula and a Python example illustrate an attempted implementation, using market data and additional turnover and trading-amount checks.

The document offers no backtest or performance evidence, and its implementation details do not align cleanly with the stated criteria: the example substitutes turnover rate for the large-order ranking, and the circulating-share description differs from the code's circulating market value check. The author cautions that the screen relies on short-term technical conditions, omits fundamental prospects, and may introduce selection bias. It suggests adding technical and fundamental analysis, adapting the size threshold to market conditions, and validating the strategy over time.

Key ideas

• The screen combines price amplitude, large-order net volume ranking, and a circulating-share limit.
• The proposed rationale is to find smaller stocks with active trading and potential short-term upside.
• The Python example uses turnover and circulating market value as proxies, which do not exactly match the stated screen.
• The method omits long-term company fundamentals and may be unstable or biased.
• The document recommends broader analysis and backtesting to assess the screen.

Tags

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