Stock Screening with Large-Order Flow, Price Range, and a Five-Day Average

Summary

This Chinese stock-screening post describes a rules-based filter combining price movement, large-order net volume, and a short moving average. It selects stocks whose reported amplitude exceeds 1, whose large-order net-volume measure stays above 0.05 for at least three consecutive days, and whose closing price is above its five-day average. The post also includes formula and Python examples, with additional positive earnings-per-share and return-on-equity filters shown in the Python section.

The rationale offered is that positive large-order flow and price strength may identify relatively strong stocks, while the moving-average condition is intended to add stability. The article cautions that the screen is broad and may return many stocks; it also omits fuller consideration of company fundamentals and macroeconomic conditions. It recommends adding financial and industry filters and qualitative or macro analysis. No backtest results or performance evidence are provided, and the sample implementations may not define the stated conditions consistently.

Key ideas

• The screen combines an amplitude threshold, positive large-order net volume over three consecutive days, and a close above the five-day moving average.
• The post presents both a charting-platform formula and a Python example for implementing its filters.
• The Python example also applies positive earnings per share and a return-on-equity threshold as extra filters.
• The author warns that broad criteria may produce many candidates and overlook fundamental and macroeconomic risks.
• The post gives no backtest or evidence that the screening rules generate profitable returns.

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