Screening Chinese Stocks with Volatility, Large-Order Flow, and ROE

Summary

The post proposes a Chinese equity screen combining daily price amplitude, afternoon large-order net inflow, and a record of high return on equity over five years. It frames the criteria as a mix of price activity, money flow, and company profitability, and gives formula references and a Python example using market and financial data to select stocks.

The author notes that strong accounting performance does not guarantee favorable share returns and suggests broadening the screen with additional financial and market measures, then considering portfolio allocation and market conditions. The material does not provide a backtest, out-of-sample evaluation, or evidence that the proposed rules produce positive returns. The sample code also offers only a rough implementation reference: its data queries and rolling conditions are not fully reconciled with the stated five-year criterion, so readers would need to validate the definitions and data handling before relying on the screen.

Key ideas

• The proposed screen combines price amplitude, afternoon large-order flow, and sustained high ROE.
• The post supplies indicator formulas and a Python selection example based on stock data.
• The author warns that strong fundamentals alone do not ensure strong share performance.
• Additional financial and market variables may reduce reliance on a single measure.
• The post gives no performance study, and its code should be checked against the intended screening rules.

Tags

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