Stock Screening with Intraday Range, Historical Limit-Ups, and Large-Order Flows

Summary

This proposed daily Chinese stock screen combines three conditions: an intraday high-low range above 1% of the prior close, at least two limit-up events over the preceding 500 sessions, and positive large-order net inflow during the afternoon. The post supplies indicator formulas and a Python example. The code's volatility calculation averages price ranges relative to average prices rather than applying the stated daily threshold, and its flow and limit-up checks should be verified against the intended time window and market data definitions.

The article treats afternoon large-order inflow as a possible liquidity-related signal, alongside a history of sharp price moves. It warns that the approach leaves out important trend and volume context, and that large-order flows alone can fail to prevent price declines. It suggests adding other indicators or valuation measures. There is no backtest or reported performance, and the example is explicitly presented as something to adapt and validate rather than a demonstrated trading system.

Key ideas

• The screen requires a daily price range above 1% of the previous close.
• It also requires at least two limit-up events in a 500-session lookback and afternoon positive large-order flow.
• The provided Python example does not clearly implement every stated condition and needs validation.
• The author warns that flow data alone is insufficient and reports no strategy performance.

Tags

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