Stock Screening with Large-Order Flow and Moving-Average Alignment

Summary

This Chinese-language post describes an equity screening rule that combines daily amplitude above 1, large-order net volume above 0.05 for at least three consecutive days, and alignment with five moving averages. The stated averages use windows of 5, 10, 20, 30, and 60 periods, with the example code requiring closing price to exceed each average. The rationale is to combine price movement, buying pressure, and a technically stable setup.

The post provides illustrative Python screening logic, but it does not report a backtest, returns, or risk-adjusted results. Its own caveats are that the filter ignores company fundamentals and that moving-average alignment may not capture the true state of a stock or prevent short-term trend reversals. It suggests adding financial and sector measures or other indicators, but gives no tested method for weighting or validating those additions. The stated thresholds and example implementation should therefore be treated as a screening proposal, not evidence of a profitable strategy.

Key ideas

• The screen combines a daily amplitude threshold with sustained positive large-order net volume.
• It requires the closing price to exceed five moving averages spanning short to longer windows.
• The proposed rationale is to combine price activity, capital flow, and technical alignment.
• The post reports no measured strategy performance and warns that fundamentals and reversals are not captured.

Tags

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