Stock Screening with Amplitude, Turnover, and Large-Order Net Flow

Summary

This Chinese stock-screening note describes a rule that combines daily price amplitude, a bounded turnover rate, and a ranking based on large-order net flow. Its rationale is to find shares with meaningful price movement and trading activity while using net flow as a rough indication of investor interest. The post includes formula and Python examples, although the examples differ in how they operationalize the net-flow ranking and its cutoff.

The author cautions that these few conditions create substantial selection risk: large-order flow may not capture all buying and selling, and the screen omits other factors. Suggested additions include moving averages, MACD, market turning-point measures, and float market value. The document offers no backtest, performance evidence, or evaluation of execution effects, so it presents a screening idea rather than a validated strategy.

Key ideas

• The screen combines price amplitude above 1, turnover between 2% and 9%, and a large-order net-flow rank.
• Amplitude is presented as a proxy for volatility, while turnover indicates activity and net flow approximates capital interest.
• The note warns that large-order flow may not represent all market flows and that the rule is narrow.
• It suggests adding technical and market-capitalization factors, but supplies no performance validation.

Tags

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