A-Share Screening with Price Range, Institutional Flow, and Relative Volume
Summary
This article outlines an intraday A-share screen using recent price amplitude, a change in an institution-related trading-flow measure, and relative volume. The final stated conditions require five-period amplitude above one, a nonzero difference between current and prior institutional-flow measures, and a relative-volume measure between 1.5 and 6. The screen is intended to run after the market opens. The article explains relative volume as an indication of trading activity and combines it with price movement and the flow signal to identify candidates.
No historical test, sample selections, or return evidence is provided. The article cautions that the thresholds can exclude stocks with unusually high volume and volatility, and that manipulated order books or misleading information can distort volume and amplitude measures. It suggests adding fundamental or technical indicators and adapting thresholds to market conditions. The sample implementation is described as a reference, and the text does not establish that its institutional-flow proxy measures genuine institutional buying or that the rule has predictive value.
Key ideas
- The proposed screen combines five-period amplitude, a change in an institution-related flow measure, and relative volume.
- The stated relative-volume range is above 1.5 and below 6, with selection after the open.
- The article warns that volume and amplitude can be distorted by market manipulation or false information.
- It suggests adjusting filters to market conditions and adding other indicators.
- No backtest or evidence of predictive performance is presented.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.