Short-Term Stock Screening with Amplitude, Control, and Large-Order Flow

Summary

This document describes a short-term stock screen using three conditions: daily amplitude above a threshold, a high daily control measure, and a positive product between price change and net flow from very large orders. Its refined version also restricts candidates to main-board stocks. The article sketches equivalent implementations in a Chinese stock platform’s formula language and Python, and ranks qualifying stocks by a funds-flow measure.

The rationale is that price movement, trading activity, and large-order flows may help identify stocks with short-term strength. The document offers no performance data or backtest results, so it does not establish that the screen produces excess returns. It also warns that short-term technical and flow signals can neglect company fundamentals. Suggested improvements include adding fundamental and technical measures, setting stop losses, and evaluating the model through backtesting and live use; these suggestions are not themselves validated in the article.

Key ideas

• The screen combines daily amplitude, a control measure, and price change multiplied by net large-order flow.
• The refined rules retain main-board stocks and require the product of price change and net flow to be positive.
• The article provides example implementations and sorts selected stocks using a funds-flow ranking.
• It cautions that short-term technical signals may overlook fundamentals and recommends risk controls and performance evaluation.

Tags

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