Screening Chinese Stocks by Amplitude, Listing Age, and Order Flow Ratio

Summary

This post presents a Chinese equity screening rule based on price range, listing history, and a measure labeled the ratio of external to internal trading volume. It selects stocks with amplitude above 1, more than one year since listing, and an external-to-internal volume ratio above 1.3. The rationale is to favor active, volatile shares while excluding newly listed companies; the ratio is treated as a signal of buying pressure or market sentiment. The post supplies a Python example, but the stated concept is the threshold based screen rather than a fully specified portfolio strategy.

The author notes that the rule omits company fundamentals, macroeconomic and policy conditions, and rigorous risk controls. High volatility can also mean greater downside risk. Suggested improvements include combining the screen with valuation and fundamental measures, setting stop losses, and limiting position sizes. No backtest results or evidence of predictive performance are provided, and the meaning and reliability of the volume ratio are not validated.

Key ideas

• The proposed screen requires amplitude above 1, listing age greater than one year, and an external-to-internal volume ratio above 1.3.
• The ratio is presented as a possible indicator of trading sentiment or buying pressure.
• The post argues that volatility and trading activity alone do not establish investment quality.
• It recommends adding fundamental analysis and tighter controls on losses and position size.
• The document provides no performance test for the screening rule.

Tags

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