Screening Chinese Equities by Intraday Range, Large-Order Flow, and Concentration

Summary

The document describes a Chinese equity screen that combines price movement, trading activity, and a concentration measure. It seeks stocks with an amplitude above 1, ranked favorably by large-order net flow, and concentration between 20% and 70%. The intended profile is volatile, actively traded stocks without excessive concentration.

It gives a formula reference using prior-day turnover, daily range relative to the previous close, range within a 60-day high-low band, and a volume crossover condition. Its Python example instead checks turnover rate, volume ratio, and an index amount ratio, so the examples do not implement the stated large-order net-flow ranking consistently. No backtest or performance results are provided. The note itself warns that the filters are simple, omit company fundamentals and size, and may perform differently across market and macroeconomic conditions; its suggested improvements include adding fundamental measures and adjusting parameters to market conditions.

Key ideas

• The screen combines a price-amplitude threshold with a large-order net-flow ranking and a 20%–70% concentration band.
• The formula reference uses prior turnover, daily range, a 60-day range comparison, and a volume crossover.
• The Python example uses turnover and volume ratios plus an index trading-amount ratio, which differs from the stated selection logic.
• The document provides no evidence of historical or live performance and notes that market conditions can change results.

Tags

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