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

Summary

This article describes a Chinese equity screen combining daily price amplitude above 1%, a high ranking or threshold for large-order net flow, and a circulating market capitalization between 5 billion and 10 billion yuan. Its stated rationale is to focus on mid-sized companies while accounting for trading activity. The article also offers formula and Python-style examples for expressing the conditions and sorting candidates by market value.

The screen is presented as a starting point, not a tested strategy: no historical returns, benchmark comparison, or execution assumptions are supplied. The text itself flags that market capitalization data may be delayed or inaccurate, and that liquidity or market stress can make selections unstable. It recommends adding technical and sentiment measures and refining the size comparison, but does not specify or evaluate those additions. The example implementation should be checked carefully against the intended conditions before use.

Key ideas

• The proposed screen combines amplitude, large-order net flow, and a circulating-capitalization band.
• The capitalization range is intended to focus on mid-sized Chinese stocks.
• The article suggests adding technical and sentiment measures to broaden the selection criteria.
• It warns that capitalization data may be delayed or imprecise and that market stress can destabilize results.
• No backtest evidence is presented to establish the screen’s performance.

Tags

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