Screening Chinese Equities by Range, Large-Order Flow, and Board

Summary

The article proposes a short-term stock screen combining three conditions: daily high-low amplitude above one percent, a large-order net-flow ranking threshold, and exclusion of stocks listed on China's STAR Market. Candidates are then ranked by trading activity, with the discussion suggesting that fundamental and industry checks can supplement the quantitative filters. It frames the range and order-flow measures as ways to find active stocks, while the market-board exclusion is presented as a risk-related choice.

The document includes sample expressions and a Python-style implementation outline, but the example uses placeholder functions for order-flow and board classification and does not report a backtest or measured returns. Its rationale that the excluded board is relatively stable is asserted rather than demonstrated, and the filter itself does not establish that large-order flow predicts returns. The author recommends combining the screen with broader analysis and strict exit discipline; no entry timing, portfolio sizing, or validated stop rules are specified.

Key ideas

• The screen requires daily high-low amplitude above one percent.
• It combines the range filter with a large-order net-flow threshold and excludes STAR Market listings.
• The example ranks selected stocks by trading activity.
• The implementation relies on data functions that are not defined in the article.
• No backtest evidence is provided, and the screen leaves entry timing and position sizing unspecified.

Tags

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