Screening Chinese Stocks by Range, Large-Order Flow, and Trade Imbalance
Summary
The proposed screen selects main-board stocks using three conditions: daily amplitude above one, large-order net volume above 0.05 for at least three consecutive days, and outside volume more than 1.3 times inside volume. The document interprets amplitude and net large-order flow as measures of market activity and sentiment, while the outside-to-inside volume ratio is used as a proxy for buying versus selling pressure. It includes example indicator formulas and a Python illustration, followed by optional valuation and market-cap filters.
The page warns that order-flow ratios can be noisy and that sentiment-sensitive filters do not capture longer-term fundamentals. It suggests combining the screen with other technical indicators and company analysis. The examples do not report backtest results, define all data conventions, or establish that the proposed conditions predict returns; implementation details and the meaning of the amplitude calculation should be checked before use.
Key ideas
- The screen combines price amplitude, sustained large-order net volume, and an outside-to-inside volume ratio.
- It targets main-board stocks with a stronger outside-volume reading than inside-volume reading.
- The author identifies noise in order-flow measures and limited coverage of long-term fundamentals.
- Additional technical and fundamental filters are suggested, but no performance evidence is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.