A-Share Morning Screen for Fund Flows, Order Imbalance, and Price Gains

Summary

This note presents a stock-screening idea using reported increases in holdings, the ratio of external to internal trading volume, and a morning price-change limit. Its final stated conditions require today’s increase-in-holdings share to exceed 5%, external volume divided by internal volume to exceed 1.3, and the 9:25 price gain to remain below 6%. It then adds KDJ bullish crossover, RSI above 50, and volume above its five-day average. Sample code sketches joins across fund-flow, price, and indicator data, along with additional fundamental filters.

The proposed rationale is to combine buying pressure and positive short-term signals while limiting the size of the morning gain. However, the article provides no backtest or evidence of returns. Its initial explanation describes the 9:25 measure inconsistently, and the sample code’s daily fields may not represent an intraday 9:25 observation. Definitions of external and internal volume and the holdings metric also need verification. The note warns that broader market declines can overwhelm the screen and suggests adjusting thresholds or adding filters.

Key ideas

• The proposed screen combines holdings increases, an external-to-internal volume ratio, and a morning price-gain ceiling.
• The final selection logic adds KDJ, RSI, and relative-volume conditions.
• The article includes illustrative data-query code but reports no performance results.
• The description of the 9:25 measurement and its daily-data example are inconsistent.
• Broad market weakness and metric definitions limit how confidently the screen can be interpreted.

Tags

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