Screening Chinese Stocks by Volatility, Listing Age, and Large-Order Flow

Summary

This document outlines a Chinese equity selection rule requiring amplitude above 1%, a listing history longer than one year, and a condition based on the product of price change and a large-order volume measure. It presents volatility as a sign of activity, excludes newly listed companies as a stability filter, and treats large-order activity as an additional indicator of market interest. Example selection logic is provided, though the code's volume calculation is not clearly equivalent to the prose definition of a very large individual trade.

The note supplies no backtest or evidence that this combination forecasts gains. It cautions that macroeconomic conditions and company fundamentals are omitted, and that high amplitude can select risky stocks. It recommends combining the signal with valuation and fundamental measures, setting stop levels, and controlling position size. The threshold and the meaning of the flow measure would need clear specification and empirical validation before use.

Key ideas

• The proposed screen combines amplitude above 1%, listing age over one year, and a price-change-times-large-order-flow condition.
• The document describes large orders as individual trades exceeding a stated fraction of total trading volume.
• Its example calculation uses aggregate volume share, which may not implement that individual-trade definition.
• The approach omits macroeconomic and company-quality factors and may select highly volatile stocks.
• The note recommends adding valuation and fundamental analysis and strengthening stop and position controls.

Tags

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