Selecting Chinese Stocks by Volatility, Control, and Large-Order Flow

Summary

This short-stock-screening strategy selects shares with daily amplitude above a threshold, apparent control by major traders on the previous day, and a high ranking by net large-order volume. The rationale is that amplitude indicates price movement, the control measure is intended to reflect major capital flows, and the large-order measure offers another view of trading activity. The article references amplitude, a five-day price average ratio, and DDX as indicator proxies, and gives an example implementation that filters and ranks stocks.

The post describes the approach as short-term and cautions that relying on a few signals may leave a small candidate pool. It also acknowledges that large-order rankings do not fully represent market flows and recommends considering fundamentals, technical conditions, valuation, and risk controls. No backtest, return series, or comparison with a benchmark is presented, so the strategy’s profitability and robustness cannot be inferred from the document. The example’s thresholds and data fields should be treated as implementation references, not validated trading rules.

Key ideas

• The screen combines a minimum amplitude condition with a prior-day major-trader control signal and a large-order net-volume ranking.
• Amplitude is used as a proxy for price activity, while the other criteria are intended to approximate capital flows.
• The suggested approach is short-term and may select few stocks when its criteria are restrictive.
• Large-order rankings are incomplete measures of market flows and should be assessed alongside other information.
• The post offers no performance evidence, so the screening rules remain unvalidated.

Tags

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