Screening Chinese Stocks by Intraday Range, Price Shape, and Volume Flow

Summary

The document presents a short-term stock-selection screen combining intraday amplitude, a price-position condition described as a rounded arc, and increasing volume totals over progressively longer recent windows. Its example formula compares recent minute-level closing prices and ranges, requires five-minute volume to exceed twenty-minute volume and twenty-minute volume to exceed sixty-minute volume, and excludes one market segment. The accompanying explanation interprets these conditions as signs of activity, relatively contained price movement, and stronger recent capital flow.

A Python example applies similar conditions across stock symbols and minute data. The post cautions that the screen relies mainly on technical information, may miss fundamental or broader market influences, and could misclassify stocks; it suggests adding indicators and fundamental measures. No backtest results or evidence of profitability are supplied. The code and formula use different fields and details, so implementation should be checked carefully before relying on the stated selection logic.

Key ideas

• The proposed screen combines an intraday amplitude threshold with a price-position condition.
• It compares recent volume totals across five-, twenty-, and sixty-minute windows.
• The examples exclude a specified market segment and use minute-level stock data.
• The author warns that technical-only criteria can omit fundamentals and broader market factors.
• The document provides no backtest evidence, and its formula and Python example are not fully aligned.

Tags

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