Stock Screening with Volatility, Dividend Yield, and Large-Order Flow

Summary

This post describes a Chinese equity screen combining daily price amplitude, dividend yield, and a large-order net-flow ranking. It presents the factors as signals for volatility, company profitability, and market interest, then shows example implementations using a charting formula and Python data interfaces. The examples select stocks meeting all three conditions and rank the large-order measure.

The post offers no backtest, performance evidence, or detailed definition of the ranking data. It cautions that factor relationships can change out of sample, that large-order net flow may be subjective, and that the chosen ranking cutoff affects results. It suggests adding valuation and trading-volume measures, but does not test whether these improve selection. The examples are illustrative and may require changes for the data source and trading setup.

Key ideas

• The screen combines price amplitude, dividend yield, and a large-order net-flow rank.
• The examples use a threshold for amplitude and dividend yield, then select highly ranked stocks by order flow.
• The post provides no evidence that the combined screen produces better returns or lower risk.
• Factor effectiveness, ranking definitions, and selection cutoffs can affect the results.

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