Screening Chinese Stocks by Daily Range, Price, and Large-Order Flow

Summary

This short-term stock screen combines a daily high-low range greater than 1%, a closing price of 18.5 yuan, and a prior-day signal described as main-fund control. The document links the range condition to elevated activity and presents the price and fund-flow conditions as ways to identify stocks with active market interest. Its formula example defines the control signal using rising 5-, 10-, and 20-day moving averages of buying volume, together with zero selling volume on the latest observation.

The article offers illustrative screening code and suggests adding industry activity, company quality, and fundamental analysis. It gives no backtest or performance evidence, and its description shifts between “yesterday” and current observations in places. The exact price condition is unusually restrictive, while fund-flow measures and market sentiment can change quickly. The document itself cautions that these filters do not account for all relevant factors or ensure future profits.

Key ideas

• The stated screen combines a daily range above 1%, a price of 18.5 yuan, and a prior-day main-fund control signal.
• The formula example represents fund control through moving averages of buying volume and zero latest selling volume.
• The author suggests supplementing the screen with industry, quality, and fundamental factors.
• The document supplies no backtest evidence and notes that the signal relies heavily on shifting market sentiment and fund flows.
• The timing and implementation details should be clarified before the screen is evaluated.

Tags

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