Screening Chinese Stocks by Price Range and Large-Order Net Buying

Summary

This stock screen selects securities with a daily high-to-low range greater than 1%, restricts observations to 2021, and ranks them by large-order net buying. The post interprets a wide range as a sign of volatility and large-order buying as a possible indication of institutional demand. Its example formula also compares the current large-order net-buying measure with the prior observation, while the Python sketch sorts by the measure and retains the top 100 stocks.

The author cautions that the filters are narrow, market movements remain uncertain, and institutional flows can be misleading. Suggested improvements include adding technical patterns, fundamentals, valuation, turnover, and other quantitative measures. The material is an illustrative screening recipe rather than a complete trading system: it gives no entry or exit rules, portfolio sizing, transaction-cost assumptions, backtest, or performance evidence. The 2021 date constraint also makes the example historically specific rather than a directly current selection rule.

Key ideas

• The screen requires a daily high-to-low range above 1% and observations from 2021.
• Stocks are ranked using large-order net buying as a proxy for institutional flows.
• The example code selects the top 100 ranked names.
• The post recommends combining flow and range filters with fundamentals and other measures.
• It provides no trading exits, cost assumptions, or performance results.

Tags

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