Screening Shanghai-Listed Stocks by Range and Large-Order Flow

Summary

This stock selection rule screens for Shanghai-listed shares whose daily high-low range exceeds one percent of the previous close, then combines the day’s return with a measure of very large order flow. The stated rationale is to focus on stocks showing meaningful movement and use the return-flow relationship as a signal about price direction and capital activity. The page includes example formula and Python references for expressing the conditions.

The document cautions that a small set of technical and flow measures cannot capture a company’s full investment merits or risks. It recommends considering additional technical and financial factors, company fundamentals, and industry trends. No backtest, return data, or evidence of predictive power is provided, and the rule’s short-term focus may omit longer-term business conditions. The selection logic is therefore a proposed screen, not a demonstrated trading strategy; the page does not specify portfolio construction, execution, or position sizing.

Key ideas

• The screen selects stocks with a daily high-low range above one percent of the previous close.
• It restricts candidates to codes beginning with 60, targeting a particular share market segment.
• The rule combines price change with very large order flow to assess directional activity.
• The page provides no backtest evidence and cautions against relying on a narrow set of signals.
• It suggests combining the screen with financial, fundamental, and industry information.

Tags

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