Screening Chinese Stocks for High Amplitude and Large-Order Flow

Summary

This Chinese equity screen combines daily price amplitude above 1 with large-order net volume above 0.05 for at least three consecutive days, while excluding stocks classified as belonging to the STAR Market. The intended selection is stocks showing both substantial price movement and sustained large-order activity. The document includes formula references and an illustrative Python approach for combining the conditions.

The source describes the screen as a way to find active, volatile shares, but gives no backtest, selected-stock examples, or return evidence. It notes that the approach omits fundamentals and valuation, and that technical conditions alone may select unsuitable stocks. The text also flags ambiguity in classifying excluded shares and suggests adding fundamental filters, other indicators, and risk controls. Its sample code is illustrative and contains platform-specific references, so it is not a complete, independently reproducible implementation.

Key ideas

• The screen requires price amplitude above 1 and large-order net volume above 0.05 for three consecutive days.
• It excludes stocks classified as belonging to the STAR Market.
• The document provides formula references and an illustrative selection script, but no performance results.
• The screen omits fundamental and valuation analysis, which may lead to poor selections.
• Additional filters and risk controls are suggested as possible improvements.

Tags

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