Screening Chinese Stocks by Range, Exclusions, and Large-Order Flow

Summary

This proposed Chinese stock screen excludes Beijing-listed stocks and selects for an intraday range above 1%, alongside a condition combining price change with net trading volume attributed to very large orders. The stated threshold for that combined measure is one hundred million. The article explains the screen as a way to focus on volatile stocks with notable large-order activity and includes formula and Python examples. The Python reference also adds moving-average and MACD calculations and a recent-high condition, though their role differs from the concise core rule.

The source warns that large-order flows may reflect temporary events, selected names may be small or illiquid, and the screen focuses on short-term trading activity without incorporating company fundamentals or industry prospects. It proposes adding market capitalization, liquidity, risk-return, fundamental, and capital-flow measures. No performance results or validation are presented, and the exact large-order calculation depends on the data fields and conventions of the referenced platform.

Key ideas

• The initial screen combines an intraday range condition, a geographic exclusion, and a large-order flow measure linked to price change.
• Formula and Python examples show how the source expresses the screening conditions.
• Large-order activity may be temporary and does not by itself establish investment quality.
• Liquidity, market capitalization, fundamentals, and risk-return measures are proposed as additional filters.
• The document presents no backtest evidence and relies on platform-specific data conventions.

Tags

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