Large-Order Flow and Limit-Up Frequency Stock Screen

Summary

The document describes a Chinese equity screening rule that combines three conditions: today's position-increase ratio must exceed a threshold, large-order net volume must remain above a threshold for several consecutive days, and the stock must have reached the daily limit-up more than a specified number of times within a recent window. The rationale is that these conditions may indicate capital inflows, persistent buying pressure, and market attention.

It offers placeholder functions rather than working data-retrieval code and gives no backtest results or performance evidence. The author notes that market declines can cause losses and that reliance on historical data may introduce bias. Suggested refinements include monitoring market conditions, improving data quality, and adding company financial and industry information. The screen is a proposed selection heuristic; the document does not establish that its signals predict returns or account for transaction costs and execution.

Key ideas

• The screen combines a daily position-increase ratio, consecutive positive large-order net volume, and recent limit-up frequency.
• The conditions are intended to capture inflows, persistent buying pressure, and heightened attention.
• The provided functions are placeholders and do not implement data retrieval.
• The document reports no backtest evidence and warns of market and historical-data risks.
• Potential refinements include monitoring market conditions and adding financial or industry factors.

Tags

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