Screening Chinese Robot Stocks with Amplitude and Large-Order Flow

Summary

This Chinese equity screening proposal combines price amplitude, a robot-sector classification, circulating market capitalization, and large-order net flow. It seeks stocks with amplitude above 1%, market capitalization below 10 billion yuan, and large-order net volume above 0.05 for at least three consecutive days. The post includes example screening logic and code using market data, concept membership, and rolling volume measures to combine the conditions.

The author flags that large-order flow can be affected by local events and investor sentiment, may lag, and may leave few candidates. The post recommends adding technical and fundamental factors, monitoring market trends, and using stop-loss and take-profit controls. It offers no backtest or return evidence, and the example implementations may not exactly match the stated condition: the code aggregates a three-day ratio, which does not by itself establish that the threshold was exceeded on each of three consecutive days. The screen is therefore a proposal requiring specification and validation before use.

Key ideas

• The screen combines amplitude, robot-sector membership, market capitalization, and large-order net flow.
• It specifies a market-cap ceiling of 10 billion yuan and a flow threshold above 0.05 for three or more days.
• The post warns that order-flow measures can be noisy, sentiment-sensitive, and delayed.
• Its code examples should be checked because a rolling aggregate may differ from a consecutive-day threshold.
• No backtest results are supplied, and the post suggests adding risk controls and other selection factors.

Tags

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