Screening Chinese Stocks by Daily Range and Persistent Large-Order Flow

Summary

This post outlines a Chinese stock screen combining daily price range with a large-order net-flow condition. It selects stocks whose high-to-low range exceeds one percent during 2021 and whose large-order net volume measure stays above 0.05 for at least three consecutive days. The stated rationale is that a wide range may indicate elevated price movement, while persistent positive flow may suggest sustained buying by large participants.

The article presents the rule as a candidate-stock filter and includes example indicator and Python snippets. It cautions that a single flow measure may not reliably represent institutional buying, that selective filters can miss broader market conditions, and that chasing volatile stocks carries risk. It provides no performance results or validation of the signal. The code examples also express the flow condition in a rolling calculation, so implementation details should be checked against the intended consecutive-day threshold before use.

Key ideas

• The screen requires a daily high-to-low range greater than one percent during 2021.
• It also requires the large-order net-flow measure to exceed 0.05 for at least three consecutive days.
• The post interprets these conditions as a combination of elevated movement and persistent buying pressure.
• It warns that the flow measure may be an imperfect proxy and that the screen lacks broader context and reported validation.

Tags

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