Screening for Persistent Large-Order Buying and High Price Range

Summary

This short-term A-share screen looks for stocks with a daily high-low range exceeding one percent of the previous close and large-order net buying above 0.05 for at least three consecutive days. It also describes ranking candidates and selecting a small group by auction trading amount. The post includes example indicator logic and a Python outline based on tick data, but the implementation appears illustrative and does not establish that the data handling or ranking field is production-ready.

The rationale is to combine price movement, trading activity, and inferred money flow to find stocks with sustained buying pressure. The document warns that these recent market signals can miss companies with stronger fundamental prospects and remain exposed to market risk. It suggests incorporating fundamental and macroeconomic information, yet presents no backtest, validation, or quantified evidence that such additions improve selection quality. The thresholds and data definitions would need verification before practical use.

Key ideas

• The screen requires a daily range above one percent of the previous close and positive large-order net flow above 0.05 over three consecutive days.
• Candidates are also ranked using auction trading amount, with the example selecting a handful of stocks.
• The method emphasizes short-term price activity and inferred order flow rather than demonstrated company fundamentals.
• The post supplies illustrative code but no backtest or evidence of predictive performance.
• Its thresholds, data definitions, and ranking implementation require validation.

Tags

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