Screening Chinese Stocks for Rising Lows, Intraday Range, and Large-Order Flow

Summary

This note presents a Chinese stock screen based on a daily range greater than a threshold, a rising price bottom, and ranking by net large-order flow. The accompanying formulas express these conditions as an amplitude test, a comparison of recent lows, and a top-rank filter for a large-order flow measure. Sample Python-like logic adds rising lows and recent volume and price direction checks, though these are not fully consistent with the stated screen.

The author argues that combining price behavior with trading-flow measures can help identify active stocks, while cautioning that large-order activity may be temporary and does not establish long-term value. The proposed additions include relative strength, broader capital-flow and turnover measures, and company factors such as financial condition, industry position, and product development. The document offers no backtest, defined holding period, or evidence that the suggested combination improves returns; some indicator definitions and implementation details remain unspecified.

Key ideas

• The core screen combines a minimum price range, rising lows, and a high rank in net large-order flow.
• The illustrative implementation adds volume change and positive daily price direction checks.
• Large-order flows may be transient and do not by themselves indicate lasting investment value.
• The note suggests adding relative strength, turnover, and company fundamentals, without testing those additions.

Tags

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