Robot-Themed Small-Cap Screening with Amplitude and Order-Flow Filters

Summary

The document describes a Chinese stock screen combining a daily amplitude threshold, membership in a robotics concept group, a circulating market value below 10 billion yuan, and an outside-volume to inside-volume ratio above 1.3. It also presents example implementations using a stock formula platform and Python-style data processing. The stated aim is to combine a price-range measure, a theme classification, company size, and trading-volume balance when selecting candidates.

The article warns that theme stocks may be driven by market attention, volume and amplitude data may be noisy, and a screen focused on one sector can concentrate industry risk. It suggests adding technical and fundamental checks and controlling exposure to avoid overconcentration. No backtest, performance figures, or validation of the thresholds is provided, so the screen should be understood as a candidate-selection recipe rather than demonstrated evidence of predictive returns. The examples may also require adaptation to the data provider and platform conventions.

Key ideas

• The screen requires amplitude above 1%, robotics-theme membership, circulating market value below 10 billion yuan, and an outside-to-inside volume ratio above 1.3.
• The article combines a price-range filter with a thematic classification, company-size condition, and volume-balance measure.
• Theme popularity and noisy trading data can affect the reliability of selected stocks.
• A sector-focused screen can create concentration risk, so the article recommends broader analysis and risk controls.
• The document reports no backtest or evidence that the selection rules produce positive returns.

Tags

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