Screening A-Shares by Large-Order Flow, Price Range, and Ten-Day Return

Summary

This note proposes screening Chinese A-shares for a daily amplitude above 1%, large-order net volume above 0.05 for at least three consecutive days, and a positive ten-day price change below 35%. It presents the range and order-flow conditions as signs of recent activity, while the return band is intended to retain stocks that have risen without exceeding the stated upper limit. A sample script illustrates rolling net-volume and price-change filters.

The document gives no backtest, performance statistics, or evidence that the conditions forecast returns. It cautions that emphasis on short-term performance can miss stocks with longer-term potential and that market risk remains. It suggests combining technical indicators such as MACD, RSI, or DMI with fundamental analysis and longer-term assessment. The sample code's range calculation and filtering logic should be independently checked before use, so the described rule is best treated as a screening proposal rather than a validated strategy.

Key ideas

• The proposed screen requires amplitude above 1% and positive large-order net volume above 0.05 for at least three days.
• It restricts the ten-day price change to be above zero and below 35%.
• The note supplies sample calculations but no reported backtest or return evidence.
• It warns that short-term filters may overlook longer-term prospects and suggests adding technical and fundamental analysis.

Tags

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