Ranking Chinese Stocks by Big-Order Net Volume After Volatility Filters

Summary

This document proposes screening Chinese stocks for amplitude above 1, removing those that reached the upper price limit on the prior day, and ranking the remaining names by big-order net volume. It defines a big order as a trade whose volume exceeds five times the day's average transaction volume, and interprets a high net-volume ranking as a possible sign of market interest. The suggested selection is the top ten, while the sample code uses a configurable count and attempts to estimate a volume-based measure.

The article offers a conceptual explanation and illustrative code, but it gives no backtest, returns, or evidence that the ranking captures informed buying or predicts performance. It acknowledges that the measure may not represent all major investor flows and that technical and fundamental analysis are absent. It suggests separating large buying from selling and considering other indicators and company metrics. The example code also leaves details of data fields and calculations unclear, so its implementation should be checked before use.

Key ideas

• The screen filters for amplitude above 1 and excludes stocks that were limit-up the previous day.
• It ranks candidates by a measure of big-order net volume, defined relative to average transaction volume.
• The proposed approach uses the ranking to identify stocks that may be attracting market activity.
• The article supplies no performance test validating the signal.
• The author notes that net volume is an incomplete proxy for capital flows and recommends additional analysis.

Tags

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