Screening Chinese Stocks by Large-Order Flows and Long-Term Trend

Summary

This Chinese equities screening recipe combines a volatility condition, positive large-order net volume, and a long-term trend filter. It selects stocks with amplitude above 1, large-order net volume above 0.05 for at least three consecutive days, and the previous close above the 250-day moving average. The article gives example indicator logic and a Python sketch for implementing the filters, then suggests adding positive earnings per share and return on equity above 10 as further screens.

The author characterizes the conditions as a way to find stocks with a favorable medium- to long-term trend, strong recent performance, and active flows, but provides no backtest results or performance evidence. The article warns that the filters are broad and omit industry and financial analysis, so selections may be risky or inaccurate. Its sample calculations also require scrutiny: the amplitude expression and the rolling three-period volume calculation may not precisely implement the stated conditions, and data definitions can differ across platforms.

Key ideas

• The screen requires amplitude above 1 and large-order net volume above 0.05 for three consecutive days.
• It also requires the previous close to exceed the 250-day moving average.
• The article proposes earnings and return-on-equity filters as possible additions.
• It provides no performance evidence and cautions that broad filters omit industry and financial fundamentals.

Tags

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