Chinese Stock Screening with Volatility, Three-Day Limit-Up Streaks, and Order Flow

Summary

This Chinese stock screening proposal combines daily price movement with a measure of large-order activity. It selects stocks with an intraday range above a stated threshold, a three-session consecutive limit-up pattern described as occurring yesterday, and a condition based on multiplying percentage change by net large-order volume. The accompanying explanation interprets volatility and the streak as signs of active trading, while the order-flow term is intended to reflect market participation. A Python example sketches screening and ranking futures-market data, though its instrument and calculations do not cleanly match the stated stock rules.

The article offers no backtest, trade records, or performance statistics. It warns that price and volume signals omit company fundamentals and that a strict combined filter may leave too few candidates. Suggested refinements include adding fundamental measures and adjusting the flow threshold to preserve a broader selection. The document gives a heuristic, not evidence that the screen predicts returns; its definitions and implementation need validation before research or trading use.

Key ideas

• The proposed screen combines a volatility threshold, a recent three-session limit-up streak, and a price-change measure multiplied by large-order net flow.
• The article treats the combined signals as indicators of active market interest, without demonstrating predictive power.
• It flags the omission of company fundamentals and the possibility that strict filters produce too few stocks.
• The supplied code example uses futures data and does not fully align with the described stock selection rules.

Tags

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