Screening A-Shares by Price Range, Shanghai Listing, and Persistent Large-Order Flow

Summary

This note outlines a Chinese stock screen requiring daily price amplitude above 1%, a stock code beginning with 60, and large-order net volume above 0.05 for at least three consecutive days. The proposed rationale is that a wide daily range indicates elevated volatility, the code prefix identifies a subset of Shanghai-listed shares, and persistently positive large-order flow may signal buying pressure. Formula and Python examples are supplied to illustrate the conditions.

The examples do not fully establish a reliable implementation: the formula for consecutive days is opaque, and the Python illustration derives a large-order measure from turnover and price change, then applies a rolling sum. That proxy may not represent actual large-order activity. No backtest or outcome evidence is reported. The author cautions that several days of positive flow may reflect only short-term buying and that the screen lacks fundamental analysis. Suggested improvements include combining technical and fundamental inputs or using a multi-factor model, while tailoring criteria to market characteristics.

Key ideas

• The screen combines daily amplitude above 1%, a code prefix of 60, and large-order net volume above 0.05 for three or more consecutive days.
• The proposed interpretation is that amplitude reflects volatility and positive order flow may indicate buying pressure.
• The Python example estimates large-order flow from turnover and price change, which may not capture actual order-size data.
• The document gives no performance evidence and warns that short-term flows do not establish long-term investment value.

Tags

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