A-Share Screen Using Price Range and Institutional Flow

Summary

This post proposes buying stocks whose daily high-low range divided by the open exceeds one, whose institutional-flow measure is positive, and which are not flagged by its prior-day limit-up filter. It explains range and fund-flow readings as indicators of price strength and market activity, and frames the exclusion as a way to avoid stocks caught in crowded speculative moves. Illustrative formula and Python-style screening examples are provided.

The post cautions that technical and flow measures omit company fundamentals and that excluding recent limit-up stocks may also filter out continuing winners. It recommends considering company and valuation information, including market capitalization and price-to-earnings measures. No backtest, return results, portfolio rules, or validation evidence is included. The supplied examples are explicitly illustrative and their data references and filter implementation may need adjustment, so they do not establish that the screen is predictive or ready for live trading.

Key ideas

• The proposed screen combines a daily range-to-open threshold, positive institutional flow, and a prior-day limit-up exclusion.
• The post treats the range and flow readings as short-term measures of price strength and activity.
• It warns that the filters omit company fundamentals and may miss stocks that continue rising after a limit-up day.
• It recommends adding company and valuation measures to the selection process.
• No backtest evidence is supplied, and the example data and implementation may require adjustment.

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