A-Share Screen Combining Range, the 10-Day Average, and Fund Flow

Summary

This post proposes an A-share stock screen that combines three conditions: daily amplitude above one, the opening price near the 10-day moving average, and a positive institutional-flow measure. Its examples define “near” as within five percent of the average and estimate flow by comparing money-flow volume on rising and falling sessions over a rolling period. The stated rationale is to find volatile stocks near a short-term average with a favorable flow signal.

The post includes formula-style and Python examples, but gives no backtest, performance figures, or comparison against alternative screens. It acknowledges that the rule omits other fundamental and policy factors, and that unusual price movements can make selections unstable. It recommends examining institutional activity in more depth and adding risk controls. The institutional-flow proxy shown is a simplified construction, and the write-up does not establish that it measures institutional positioning reliably or predicts longer-term returns. Treat the screen as a hypothesis to test, not evidence of a validated investment strategy.

Key ideas

• The screen combines amplitude, opening price relative to the 10-day average, and a flow condition.
• The example places the opening price within five percent of the moving average.
• The sample flow measure compares money-flow volume on rising and falling sessions.
• The post notes omitted fundamental factors and possible instability from unusual price moves.
• No performance testing or predictive evidence is reported.

Tags

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