Screening Stocks by Price Range, Amplitude, and Large-Order Activity

Summary

This note proposes a Chinese equity screen using daily price amplitude, a ranking based on large-order net activity, and a narrow share-price condition. The article’s title refers to a price of 18, while its narrative and examples use 18.5; its suggested final rule broadens this to a price range without specifying the range. The sample code uses amplitude and trading activity proxies, but does not implement a clear ranking of large-order net flow, so the operational rule is not fully consistent across sections.

The stated rationale is to combine short-term volatility, trading activity, and price level when searching for potential opportunities. The article warns that these short-horizon filters omit long-term fundamentals and that a fixed price condition can exclude otherwise eligible stocks. It recommends adding indicators or fundamental analysis and backtesting the conditions. No actual backtest results are reported, and the code’s proxy for activity should not be assumed to measure large-order net buying accurately. The screen therefore needs clearer definitions and validation before its behavior can be assessed.

Key ideas

• The proposed screen combines daily price amplitude, large-order net activity, and a share-price filter.
• The article inconsistently specifies a price of 18, 18.5, or an unspecified range.
• The example code does not clearly implement the stated large-order net-flow ranking.
• The screen focuses on short-term trading features and does not assess long-term company fundamentals.
• The note recommends broader analysis and backtesting but provides no performance evidence.

Tags

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