Screening Chinese Stocks by Amplitude, Float Market Cap, and Large-Order Flow

Summary

This document outlines a Chinese equity screening rule that combines daily price amplitude, a minimum circulating market capitalization, and ranking by large-order net volume. Its stated rationale is to focus on stocks with meaningful price movement, substantial size, and signs of investor attention or money inflow. It also includes example platform criteria and a Python sketch intended to retrieve stock and trading data.

The author cautions that order flow may not reflect company quality, while volatility and inflows can change quickly; the screen also does not assess whether a stock is attractively valued. Suggested extensions include adding financial measures, combining technical and fundamental factors, and considering machine-learning methods. The document offers no backtest, performance figures, or detailed validation. Its code and threshold descriptions are not fully consistent, so the rule should be checked carefully against the intended data definitions before implementation.

Key ideas

• The screen combines price amplitude, circulating market capitalization, and a large-order flow ranking.
• The proposed rationale is to find sizable stocks with active price movement and investor attention.
• The author identifies unstable flows, changing volatility, and valuation as important limitations.
• Financial measures and other signals are suggested as possible additions.
• The included code and criteria should be reconciled before use because their definitions are not fully aligned.

Tags

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