Combining Price Amplitude, the 10-Day Average, and Large-Order Flow
Summary
This Chinese stock screen combines daily amplitude above 1, an opening price near the 10-day moving average, and a positive signal based on daily price change and net flow from very large orders. The stated aim is to identify volatile stocks that are consolidating near a short-term average while attracting market attention and buying interest. Formula and Python examples operationalize the amplitude threshold, a band around the moving average, and a flow-related filter.
The post provides no backtest, trade rules, or evidence that the combined screen predicts returns. It cautions that the conditions emphasize short-term behavior and a narrow measure of capital flow, potentially missing longer-term company prospects and other market drivers. It suggests adding fundamental screening and broader flow context, including trading volume and limit-up or limit-down activity. The examples are screening illustrations; their flow calculations and assumptions are not validated in the document.
Key ideas
- The screen requires amplitude above 1 and an opening price within about 5% of the 10-day moving average.\nIt also uses a positive combination of price change and very-large-order net flow.\nThe article presents example calculations but no performance evidence.\nIt warns that short-term signals and a single flow measure may omit important company and market information.\nSuggested refinements include fundamental filters and broader measures of market activity.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.