A-Share Screen Combining Capital Inflows, Weekly Trend, and Recent Gains

Summary

This note proposes screening Chinese A-shares using three signals: a positive but capped 10-day price gain, a weekly close crossing above its 30-week moving average, and daily position growth above 5%. It interprets the flow measure as evidence of investor accumulation, the moving-average crossover as a long-term trend filter, and the return band as a way to find stocks rising without an already extreme short-term advance. The final stated selection logic adds a price-to-earnings ratio below 20 and a price-to-book ratio above 1.

The article offers no backtest results or performance evidence. It warns that broad market weakness can overwhelm the screen and that the filters may miss sharp short-term breakouts. Its sample implementation does not cleanly match the stated rules: it uses a different price-to-book threshold and calculates a rolling mean of percentage changes rather than a clear 10-day cumulative return. The note also suggests adding valuation and technical filters, but does not test those changes.

Key ideas

• The proposed screen combines daily capital-flow strength with a weekly moving-average crossover and a bounded 10-day gain.
• The final stated rules also include a price-to-earnings ceiling and a price-to-book floor.
• A weak overall market can cause screened stocks to fall despite meeting the conditions.
• The sample implementation differs from some stated thresholds and does not establish historical performance.

Tags

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