Screening Chinese A-Shares by Intraday Range and Large-Order Flow

Summary

The document presents a stock screen combining three conditions: daily high–low range greater than one percent of the open, a stock code beginning with 60, and a positive large-order flow condition. Eligible names are then ranked by net volume attributed to large orders. The post includes examples of expressing these filters in a screening formula and in Python, where missing net-flow ranks are excluded before sorting.

The author suggests that the range condition selects more volatile shares and that the order-flow ranking may highlight stocks with notable recent activity. These are rationales rather than demonstrated findings: no backtest, return analysis, or definition of the underlying order-flow data is supplied. The post itself flags the risk of concentrating on volatile, recently active stocks and the possibility of missing other candidates. It recommends considering additional market or fundamental information and adding controls such as stop losses and diversification, but does not test those additions.

Key ideas

• The screen requires a daily high–low range above one percent of the opening price and stock codes beginning with 60.
• It filters for positive large-order activity and ranks candidates by large-order net volume.
• The post gives formula and Python examples for implementing the selection and ranking steps.
• The rationale is that range and order-flow measures may identify active stocks, but no performance evidence is shown.
• The author notes concentration and volatility risks and suggests broader filters and risk controls.

Tags

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