A Chinese A-Share Stock Screen Using Afternoon Large-Order Flows

Summary

The document presents a Chinese A-share stock-selection idea that excludes Beijing-listed shares and initially looks for stocks with amplitude above 1 and net large-order inflows during the afternoon. It explains these filters as proxies for price movement and liquidity, while acknowledging that the approach uses few factors and treats afternoon order flow as a single signal.

It then proposes a more restrictive version: amplitude above 2%, top-ranked afternoon large-order inflow, industry ranking, favorable valuation measures, and a recent high or moving-average breakout, with no more than 10 stocks selected. Indicator and Python examples sketch how to combine these conditions. The examples contain apparent inconsistencies with the prose, so the implementation should be checked carefully. No backtest results or evidence of profitability are provided, and the proposed thresholds are screening suggestions rather than validated parameters.

Key ideas

• The initial screen combines an amplitude threshold with positive afternoon large-order net inflow and excludes Beijing-listed shares.
• The expanded screen adds industry ranking, valuation, and price-trend filters.
• The document suggests limiting the final selection to at most 10 stocks.
• The code examples may not consistently implement the stated logic, and no performance evidence is supplied.

Tags

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