A-Share Screening by Turnover, Ten-Day Average Proximity, and Net Inflow Rank
Summary
This A-share screen selects stocks with turnover between 3% and 12%, an opening price within 5% of the ten-day moving average, and a high rank for estimated large-order net inflows. The article describes these filters as a way to combine trading activity, price position, and capital-flow signals. It supplies an indicator formula and a Python-style example that estimates inflows from price and range data and retains candidates in the upper portion of the ranking.
No backtest, measured outcomes, or benchmark comparison is provided. The article warns that net-inflow rankings may not reveal genuine institutional intent and that the screen ignores fundamentals and industry competition. It recommends evaluating flows more carefully and adding company and sector information. The described formula and example use somewhat different flow-ranking constructions, so the ranking method would need to be specified consistently before testing. The screen should therefore be read as a heuristic selection rule rather than an established source of returns.
Key ideas
- The screen restricts turnover to the 3%–12% range.
- It requires the opening price to be within 5% of the ten-day moving average.
- It ranks stocks using an estimate of large-order net inflow.
- The article cautions that flow rankings may not reflect actual investor intent.
- It reports no performance tests and recommends adding fundamental and industry analysis.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.