Stock Screening by Limit-Up Frequency and Large-Order Net Flow

Summary

This document proposes screening Chinese stocks by three measures: more than two limit-up sessions within ten days, high turnover as a proxy for active capital, and a high ranking in large-order net volume, defined as aggressive buying minus aggressive selling. The proposed sequence ranks stocks by turnover and net order flow, then applies the limit-up frequency threshold. It suggests further filtering by valuation and industry prospects, with moving averages or MACD as possible technical additions.

The rationale is that repeated limit-up moves, active trading, and positive large-order flow may indicate strong investor attention. The document does not provide a complete implementation, despite introducing a Python reference, and gives no backtest or return evidence. It cautions that selected shares may already have risen substantially and that their strength can fade when market conditions change. The suggested valuation and industry filters are left undefined.

Key ideas

• The proposed screen requires more than two limit-up sessions in a ten-day window.
• Turnover is used as a proxy for capital activity, while large-order net volume represents aggressive buying minus selling.
• The suggested selection process ranks by turnover and net order flow before applying the limit-up threshold.
• The document notes that selected stocks may already be expensive or lose strength as market conditions change.
• Valuation, industry outlook, and technical indicators are suggested as possible additional filters.

Tags

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