Screening Shanghai-Listed Stocks by Amplitude and Large-Order Activity

Summary

This document outlines a short-term Chinese equity screen using price amplitude, large-order net volume ranking, and a listing code beginning with 60, which generally identifies Shanghai-listed shares. It frames amplitude and large-order activity as measures of market activity and sentiment. The examples include a formula using a stochastic-style calculation and a Python workflow that also filters for trading amount and turnover, although those implementation details are not fully aligned with the stated large-order ranking rule.

The article supplies a rationale but no backtest, performance evidence, or definition of how the large-order ranking is calculated. It warns that the screen omits company fundamentals and that restricting the universe by code may exclude other candidates. It suggests adding technical and fundamental measures, such as volume, moving averages, and dividend yield, and recommends testing the strategy. Entry, exit, and risk controls are not specified, so the selection conditions alone do not make a complete trading system.

Key ideas

• The proposed screen combines amplitude, large-order net volume ranking, and Shanghai stock codes beginning with 60.
• The document positions the rule as a simple, short-term approach based on technical activity and sentiment.
• The provided examples add conditions that differ from or do not fully define the stated ranking criterion.
• The article offers no backtest results and notes that fundamentals and other listed stocks are excluded.
• It suggests adding indicators and fundamental measures, then validating the resulting rules with backtests.

Tags

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