Equity Screening with Volatility, Large-Order Flow, and Limit-Up History

Summary

The article proposes a Chinese equity screen combining amplitude above one, a ranking by net large-order volume, and at least two limit-up events within a 500-day window. It presents volatility as a source of short-term trading opportunities, large-order activity as a possible signal of capital interest, and prior limit-up events as evidence of speculative attention. A sample selection formula and a Python example are included, although the code’s data fields and conditions do not clearly implement every part of the stated screen.

The author cautions that the rules omit company fundamentals and long-term trend changes, and that limit-up counts may be misleading or manipulated. Suggested additions include valuation, market capitalization, industry prospects, and technical measures such as relative strength or moving averages, alongside diversification. No backtest results or evidence of predictive performance are supplied, so the proposed factors should be treated as hypotheses requiring careful validation, including checks for data quality and survivorship effects.

Key ideas

• The proposed screen combines high amplitude, net large-order volume ranking, and repeated limit-up events.
• The article interprets large-order activity and past limit-ups as possible signs of investor attention or speculative interest.
• It warns that the screen omits fundamentals and long-term trends, while limit-up events can mislead.
• The included code does not clearly match all stated screening criteria, and no performance evaluation is provided.
• The author suggests adding fundamental, trend, and technical measures and using portfolio diversification.

Tags

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