Screening Chinese Stocks by Intraday Range and Large-Order Flows

Summary

This stock-selection approach combines a minimum intraday range with afternoon large-order net inflows, positive auction-period buying signals, and net buying by very large orders above a stated threshold. The article frames range as a measure of activity, afternoon inflows as evidence of buying pressure, and auction trades as a potentially sensitive indication of price direction. It includes formula examples and a Python sketch that retrieves stock and trade data, filters candidates, and prints selected tickers.

The post cautions that relying on technical and order-flow measures can overfit historical data, and that large trades may reflect manipulation. It suggests adding valuation, profitability, industry, and other technical measures, as well as averaging large-order flows across a period to reduce the influence of a single session. The code example’s data fields, calculations, and historical snapshot are not independently validated in the document; it provides no backtest results or evidence of future profitability.

Key ideas

• The screen combines intraday range, afternoon large-order inflows, auction buying, and a large-order threshold.
• The article provides formula examples and a Python outline for filtering stock data.
• The author warns that the criteria can overfit and that large trades may be manipulated.
• Suggested refinements include fundamental and industry measures, additional indicators, and averaging flows across multiple sessions.
• The document reports no backtest results or evidence of profitability.

Tags

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