Screening Chinese Stocks by Volatility, Float Size, and Large-Order Flows

Summary

This document describes a Chinese equity screening rule that combines daily price amplitude, freely tradable share count, and large-order net buying over several consecutive days. It proposes selecting shares with amplitude above 1, a float no larger than 5.5 billion shares, and a three-day cumulative large-order net amount above 0.05. The rationale is that price movement may indicate short-term trading opportunity, smaller floats can have higher risk and return potential, and positive large-order flows may signal active buying. Example implementations are provided for a charting platform and Python, including an additional ranking step.

The rule is a screening heuristic, not a tested trading system: the document reports no backtest results or measured returns. It warns that the screen omits company fundamentals and that temporary capital flows can mislead. It suggests combining the filters with technical indicators, fundamentals, market trends, and explicit risk controls. The code examples also leave data definitions and implementation details to the user, so results may vary by data source and interpretation.

Key ideas

• The screen combines price amplitude, float size, and positive large-order net flows over three days.
• The stated float threshold is 5.5 billion shares, and the cumulative net-flow threshold is above 0.05.
• The document treats volatility and buying flow as possible signs of short-term opportunity, not proof of future gains.
• Fundamentals are absent from the initial filter, and temporary flow changes can create false signals.
• The suggested refinement is to combine the screen with technical, fundamental, and risk-management criteria.

Tags

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