A-Share Screen Using Intraday Range, Relative Volume, and Large-Order Inflows

Summary

This A-share screening concept looks for stocks with a daily high-low range of at least 1%, relative volume between 1.5 and 6, and afternoon net inflows from large orders. Its final formulation adds persistence: both current large-order volume and its five-session average should be increasing. The article presents these conditions as ways to find active stocks with buying pressure, while cautioning that institutional rebalancing or brief sentiment spikes can make large-order inflows unreliable.

It recommends combining the signal with other technical or fundamental measures, adjusting thresholds to market conditions, and tracking positions with risk controls. The document supplies indicator and Python examples but no backtest results or evidence that the screen predicts returns. It also gives limited detail on how the intraday inflow measure is defined, so implementation may depend on the data source and calculation conventions.

Key ideas

• The screen combines a minimum daily price range with a bounded relative-volume band.
• It uses rising large-order volume and its short moving average as signs of persistent inflows.
• Large-order buying may be temporary or reflect portfolio rebalancing rather than lasting demand.
• The article recommends combining signals and managing risk, but reports no performance tests.

Tags

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