A-Share Screen Using Recent Returns, Three Losing Sessions, and Net Buying

Summary

This post describes a stock screen combining three conditions: a positive return over the prior ten days that remains below 35%, three consecutive declining closes, and a daily net-buy ratio above 5%. It presents these filters as proxies for buying interest, trend, and risk preference, then proposes selecting A-share stocks that meet all three.

The post provides illustrative Python-like logic but no backtest results or evidence that the screen is profitable. It cautions that historical data may miss market changes and sudden events, the filters may be overly conservative, and technical signals omit company fundamentals and industry trends. It suggests broadening the criteria, adjusting the lookback period, diversifying across stocks, and using more data sources. The supplied formula for net buying and the return calculation are not clearly validated, so their definitions and implementation would need careful review before research or use.

Key ideas

• The screen requires a positive ten-day return below 35%.
• It also requires three consecutive sessions with declining closes.
• A daily net-buy ratio above 5% is used as a further selection condition.
• The post offers no performance evidence and flags event, model, and fundamental-data limitations.

Tags

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