A-Share Screening by Daily Range, Year, and Afternoon Fund Flows

Summary

The document describes a stock screen that selects shares with a daily high-to-low range above 1%, dates in 2021, and positive large-order net inflows in the afternoon. It presents the range as a way to find more volatile stocks and treats afternoon inflows as a sign of active capital that may support short-term gains. The selected stocks are placed in a candidate pool rather than given explicit entry or exit rules.

It provides indicator-style and Python examples of the conditions. The Python example uses daily data and a field for net main-fund inflow, so it does not clearly establish that the flow measurement is specifically limited to the afternoon. No performance test or evidence of predictive value is supplied. The document cautions that fund flows may be temporary and that high volatility raises risk; it suggests adding fundamental measures and setting stop-loss and take-profit levels.

Key ideas

• The screen requires a daily high-to-low range greater than 1%.
• It restricts candidate observations to 2021 and requires positive large-order net inflow.
• The conditions identify stocks for a candidate pool rather than define a complete trading system.
• The document warns that short-lived flows and high volatility can make the selection risky.

Tags

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