Screening Stocks for Range, Control Changes, and Persistent Large-Order Inflows

Summary

This post outlines a Chinese stock selection method using three signals: daily amplitude above 1, a daily control measure above 21, and large-order net flow above 0.05 for at least three consecutive days. It interprets the range measure as a volatility filter and the other inputs as signs of market participation and sustained capital inflow. Formula and Python examples sketch how to calculate conditions and return a short list of candidates.

The post cautions that the screen leans heavily on order-flow data, omits company fundamentals and cross-stock relationships, and may be based on an overly short evaluation period. It recommends adding fundamental and event data, testing over longer periods, and examining the effects of individual filters. No historical performance, sample period, or evidence of predictive power is reported, and the code's flow logic should be reconciled with the stated three-day rule before implementation.

Key ideas

• The screen combines amplitude above 1 with a control measure above 21 and sustained positive large-order net flow above 0.05.
• The post interprets the flow condition as evidence of short-term capital inflows.
• It flags reliance on a single flow signal, missing fundamentals, and a potentially short evaluation period.
• It provides code sketches but no backtest results or predictive evidence.

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