Screening Chinese Stocks for Volatility, Prior Limit-Down Behavior, and Fund Flows

Summary

This document proposes a Chinese equity screen requiring amplitude above 1, a prior-day 9:15 matched price associated with a limit-down event, and positive afternoon net inflows from large orders. It recommends ranking qualifying stocks by net large-order inflow and selecting the highest-ranked names, with the number selected left to the user. Formula examples and partial Python-style code are supplied to illustrate the conditions.

The proposed interpretation combines a volatility signal, evidence of severe prior market pressure, and subsequent order-flow activity as an indicator of demand. The document does not provide test results or show that afternoon flows reliably represent informed buying. It explicitly flags the risk that large-order flow may be misleading and that the screen omits other technical and fundamental information. It suggests adding broader filters and risk controls, but does not define or evaluate them. The code is illustrative, so the timing and meaning of the market-specific fields would need careful verification before use.

Key ideas

• The screen combines amplitude above 1, a prior-day 9:15 limit-down condition, and positive afternoon large-order net inflow.
• Qualifying stocks are ranked by net large-order inflow, with a user-chosen number selected.
• The strategy’s rationale is that order flow may help distinguish demand after a sharp price event.
• The article warns that large-order inflows may be misleading and that the screen is simplistic.
• No backtest or evidence of profitability is provided.

Tags

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