Equity Screen Using Large-Order Flow and Bollinger Bands

Summary

This Chinese equity screening idea combines a price-amplitude filter, persistent positive net large-order volume, and a closing price condition involving Bollinger Bands. The intended rationale is that price range and large-order flow may reflect market activity, while the band condition is used to narrow the search to stocks within a specified technical range. The post includes example indicator and Python implementations.

The description and code are not fully aligned: the prose specifies closes between the middle and upper bands, while the code’s band comparisons do not consistently express that condition; the amplitude calculation also appears problematic. The post itself notes risks from subjectivity, changing conditions, historical overfitting, and applying a common indicator across stocks with different behavior. It suggests combining additional technical or fundamental measures, but supplies no backtest results or evidence of predictive value. Treat the screen as an unvalidated hypothesis and verify its definitions before testing.

Key ideas

• The proposed screen combines price amplitude, positive net large-order volume, and a Bollinger Band condition.
• The stated rationale treats range and order flow as measures of market activity.
• The prose and supplied code differ on how to define the Bollinger Band filter.
• The post warns about overfitting and variation in indicator behavior across stocks.
• No performance evidence is provided; the rules require validation before use.

Tags

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