Screening Stocks by Volatility, Sharp Daily Loss, and Large-Order Flow

Summary

This Chinese stock-screening note describes a short-term equity filter based on amplitude above 1, a daily maximum decline between 4% and 5%, and a high ranking for net large-order inflow. It frames amplitude as a volatility measure, the decline as a possible reversal signal, and large-order flow as an indicator of buying interest. The note provides example formulas and Python code to identify candidates, including a rank cutoff among large-order inflows.

It gives no backtest, performance statistics, or evidence that the selected stocks subsequently rebound. The author flags the simplicity of the factors and the limits of large-order data, which may not reflect the market fully. Suggested refinements include adding company size or valuation measures and considering the timing and proportion of large orders. This is a screening recipe rather than a complete trading system: it does not specify entry timing, exits, position sizing, or risk controls.

Key ideas

• The screen combines amplitude above 1 with a daily loss between 4% and 5%.\nIt ranks candidates by net large-order inflow and keeps highly ranked stocks.\nThe note interprets the price decline as a possible reversal setup and order flow as buying interest.\nIt provides no performance evidence and warns that the indicators can misclassify stocks.\nPossible refinements include valuation, company size, and more detailed large-order measures.

Tags

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