A Chinese Stock Screen Using Intraday Inflow and Turnover Activity

Summary

The proposed screen selects Chinese stocks using three filters: daily price amplitude above one percent, positive afternoon large-order net inflow as represented by a price and volume condition, and a turnover-adjusted ratio of the current auction volume to prior volume bounded between 0.5 and 2. The article presents these as signs of volatility, trading interest, and market sentiment, then supplies reference formulas and a Python-style outline for scanning shares.

The post cautions that the screen relies on a small set of technical and activity measures, omits company fundamentals and broad market conditions, and does not establish long-term performance. Its sample code and formulas are only references; the code uses functions and data fields whose definitions and implementation are not fully explained, and it applies conditions across retrieved historical data. No backtest methodology or measured results are supplied, so the selection rationale should not be read as evidence of profitability.

Key ideas

• The screen combines a price-amplitude threshold, an afternoon inflow proxy, and a turnover and auction-volume ratio.
• The article frames the filters as measures of volatility and trading activity.
• It provides formula references and a scanning outline, but no performance evidence.
• The strategy omits fundamentals and broader market conditions, according to the article.
• The example code and formula details require validation before use.

Tags

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