Stock Screening with Trading Range and Positive Large-Order Flow

Summary

This Chinese equity screen seeks stocks with a daily trading range above 1, positive large-order net volume for at least three consecutive days, and no limit-up close on the prior day. The proposed intuition is that an expanded range signals activity while persistent net buying may reflect demand; excluding prior-day limit-up stocks avoids selecting those that have just reached the daily price ceiling.

The document offers a short data-processing example, but its calculations do not reliably match the prose: it sums net volume across a rolling three-day window rather than explicitly checking each of at least three consecutive days, and its range filter compares price differences with the range in a way that appears inconsistent. Its prior-day limit-up check is also represented by a simple close comparison. No backtest, return series, or evidence of effectiveness is provided. The author notes that fundamental and earnings conditions are omitted and that chasing short-term moves or reacting to individual stock volatility can create losses. Fundamental measures and more systematic risk controls are suggested.

Key ideas

• The screen combines a daily range threshold with positive large-order net volume over at least three days.
• It excludes stocks that closed at the daily limit-up level on the previous day.
• The code example does not fully or clearly implement the stated consecutive-day and range conditions.
• No empirical performance evidence is supplied, and the screen omits company fundamentals.
• The article flags chase risk and recommends broader indicators and risk controls.

Tags

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