Screening Stocks for Daily Range and Persistent Large-Order Flow

Summary

This proposed China stock screen excludes Beijing-listed shares and selects stocks with daily amplitude above 1% and a positive large-order net-volume measure above 0.05 for multiple consecutive days. It combines a price-range filter, intended to focus on more volatile names, with a flow condition meant to identify persistent buying pressure. The document includes example indicator and Python screening logic, though it does not establish that the calculated proxy accurately measures large-order flow.

The author cautions that the screen relies heavily on technical and flow data, which can be affected by many factors, and may neglect fundamentals and longer-term value. The article suggests considering fundamental information, economic and sector conditions, and investment horizon alongside the signal. It supplies no backtest, returns, or empirical validation. There are also inconsistencies between the stated three-day requirement and the example conditions, which reference several prior periods, so the rule needs clarification before implementation.

Key ideas

• The screen excludes Beijing-listed stocks and requires daily amplitude above 1%.
• It seeks persistent positive large-order net flow above the stated threshold.
• The method combines a volatility-related price filter with a trading-flow proxy.
• The document recommends considering fundamentals and broader market and sector context.
• No performance evidence is supplied, and the stated persistence rule differs from the example implementation.

Tags

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