Screening Stocks by Range, Main-Order Activity, and Large-Order Flow
Summary
This Chinese equity screen combines a daily price range above one percent, a condition intended to indicate main-investor control on the prior day, the product of percentage change and net volume from very large orders exceeding a threshold, and daily volume above three million. The stated idea is to find volatile stocks with signs of institutional or large-buyer activity. Example logic references price movement, order-flow measures, and exchange-listed shares.
The document offers no backtest or evidence that the filters predict gains. Its threshold for the price-change and large-order product is described as adjustable, and the claimed main-investor condition is not clearly operationalized in the example code. The author notes that the screen relies heavily on technical and flow data, may omit company fundamentals and sudden events, and can be difficult to trade with incomplete information. Fundamental checks are suggested as an additional filter, but no specific combined strategy or risk-adjusted results are provided.
Key ideas
- The screen combines a range above one percent with a prior-day main-investor activity condition.
- It also requires price change multiplied by very-large-order net volume to exceed a chosen threshold.
- Daily trading volume must exceed three million under the stated final rule.
- The document provides no performance validation and leaves key flow definitions and thresholds uncertain.
- It recommends considering fundamentals and tighter selection criteria alongside the technical and order-flow filters.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.