Screening Chinese Stocks for Volatility and Sustained Large-Order Flows
Summary
This Chinese equity screen looks for stocks with daily price amplitude above 1%, at least one year since listing, and large-order net volume above 0.05 for more than three consecutive days. The rationale is that a minimum level of movement indicates market activity, while excluding recently listed shares may avoid some of their price instability. Persistent positive large-order readings are treated as a possible sign of continuing capital inflows.
The document gives an indicator formula based on volume-derived OBV and its 13- and 34-period moving averages, along with a Python example that scans listed Shanghai stocks and checks recent OBV conditions. The implementation does not fully match the prose: it tests amplitude using consecutive closes, and its formula checks rising moving-average and price conditions rather than directly verifying the stated net-volume threshold. No backtest or return evidence is provided. The author cautions that order-flow signals can fail and that the screen omits company fundamentals, industry conditions, and macroeconomic factors.
Key ideas
- The screen combines daily amplitude, listing age, and persistent positive large-order net volume.
- The proposed OBV indicator compares shorter and longer moving averages and includes price filters.
- The code example and the prose describe overlapping but not identical conditions.
- No performance evidence is supplied, and the screen omits fundamental and macroeconomic analysis.
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