A-Share Screen Using Turnover and Afternoon Large-Order Net Inflows

Summary

This stock screen selects A-shares with turnover between 3% and 12%, excludes Beijing-listed shares, and looks for net inflows attributed to large orders in the afternoon. The stated rationale is to combine a bounded level of trading activity with a same-day sign of buying interest. The article suggests checking historical capital flows and price behavior, then adding indicators such as volume or RSI to refine the screen.

The document includes a Python example that queries daily stock and capital-flow data, but it does not report a backtest or evidence that the filters predict future returns. It explicitly cautions that one afternoon’s flow may reflect temporary speculation and may not persist. Its sample also uses a particular historical date and includes extra conditions, so the example should not be assumed to implement the written screen exactly or to establish its effectiveness.

Key ideas

• The screen seeks turnover from 3% to 12% and excludes Beijing-listed A-shares.
• It selects stocks showing afternoon net inflows from large orders.
• The article recommends incorporating historical flows, price behavior, and other indicators.
• A single day of buying flow may be temporary and does not establish a future trend.
• The example code uses one historical date and does not provide strategy performance results.

Tags

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