Screening Chinese Mainboard Stocks by Range, Large-Order Flow, and Weak Closes

Summary

This document describes a Chinese mainboard stock screen combining daily price movement, large-order net volume, and a run of weak sessions. It selects stocks with an amplitude above 1, large-order net volume above 0.05 for at least three consecutive days, and closing prices below opening prices for seven consecutive days. It also outlines formula and Python examples for expressing these filters.

The rationale treats price range and order flow as signs of market sentiment, while repeated weak closes indicate a downward trend. The screen therefore targets stocks showing both selling pressure and recent weakness. The article offers no performance results or validation of the signal. It warns that fundamentals are excluded, oversold stocks may qualify, and abnormal market moves can change the results sharply. It suggests adding technical and fundamental filters or checking distance from moving averages. The sample code's implementation details should be checked against the stated conditions before use.

Key ideas

• The screen combines price amplitude, large-order net volume, and repeated sessions where the close is below the open.
• It focuses on Chinese mainboard stocks and uses three consecutive days for the flow condition and seven for weak closes.
• The article provides formula and Python illustrations but no backtest evidence.
• Because fundamentals are omitted, oversold or otherwise unsuitable stocks may pass the screen.
• Additional indicators, fundamental checks, and moving-average distance filters are proposed as refinements.

Tags

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