A-Share Screen Combining Afternoon Flows and a Weekly Moving-Average Crossover

Summary

This post presents a technical stock-selection screen for A-shares combining a daily price-range condition, afternoon large-order net inflow, and a weekly crossover of the five-week moving average above the ten-week average. The stated rationale is that range reflects volatility, order flows may indicate market sentiment, and the moving-average crossover may identify a change in trend. The article includes indicator and Python examples, but provides no backtest results or other evidence that the signals predict returns.

The post acknowledges that the screen omits company fundamentals and broad market conditions, and suggests adding financial data, market context, asset allocation, holding-period choices, and risk controls. Its implementation examples have limitations: the flow formula is not clearly validated as an afternoon large-order measure, and the Python conditions apply tests across retrieved data in ways that may not match a current-date screen. The described rules are therefore a basic screening idea, not a demonstrated trading strategy.

Key ideas

• The proposed screen combines daily range, afternoon large-order net inflow, and a weekly five-week over ten-week moving-average crossover.
• The post interprets these conditions as measures of volatility, market sentiment, and possible trend change.
• It recommends adding fundamental information and market context, along with portfolio and risk controls.
• The document provides no performance results or validation of the signals.
• The code examples may not implement the prose rules consistently or produce a point-in-time screen.

Tags

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