Screening Chinese A-Shares by Price Range and Large-Order Activity

Summary

This post presents a Chinese A-share stock screen based on daily price range and a large-order net-volume ranking, while excluding Beijing-listed stocks. It frames the approach as a way to find active stocks and potential medium- to long-term opportunities. The accompanying formula reference uses a price-range threshold relative to the prior close and an amount-related condition; the Python example adds further filters, including turnover, listing date, and trading activity.

The post warns that the screen may be too restrictive and may not adapt well during falling or sideways markets. It suggests adding technical and fundamental factors, adjusting filters as market conditions change, and refining selection by industry. No backtest results, portfolio construction rules, or evidence of the claimed investment potential are supplied, and the prose descriptions and example code do not fully align in their filter details. Any use would therefore require clarifying the intended criteria and validating them on appropriate historical data.

Key ideas

• The proposed screen combines price amplitude and large-order net-volume ranking while excluding Beijing A-shares.
• The code example includes additional turnover, listing-age, and activity conditions.
• The post identifies weak adaptation in declining or sideways markets as a risk.
• It recommends adding other indicators or fundamentals and adjusting criteria with market conditions.
• The article provides no performance evidence, and its stated screen and code example differ in some details.

Tags

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