Screening Small A-Shares by Position Increases and Order-Flow Ratio

Summary

This post describes a Chinese A-share stock screen combining a reported daily position increase above 5%, an external-to-internal trading volume ratio above 1.3, and a market capitalization ceiling of 10 billion yuan. It presents these as signs of recent capital inflow, order-flow imbalance, and smaller company size, then sketches code for applying the filters across a stock list. It also suggests adding valuation and technical indicators as possible refinements.

The document provides no backtest, performance evidence, or precise data definitions. Its explanation of the external-to-internal ratio conflicts with the usual interpretation of those terms, and the sample code uses price data as a proxy for that ratio. The code also uses a market-cap threshold that does not match the stated 10-billion-yuan limit, while its percentage calculation may not represent the named position-increase metric. These inconsistencies make the rules difficult to reproduce without checking the platform’s fields and units.

Key ideas

• The screen combines a daily position-increase threshold, an external-to-internal volume ratio, and a market-cap ceiling.
• The article proposes valuation and technical indicators as potential additions to the selection rules.
• The sample code does not correctly implement all the metrics described in the prose.
• No historical performance results are supplied, so the screen’s effectiveness is unestablished.

Tags

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