A Stock Screen Combining Intraday Amplitude, Control, and Large-Order Flows

Summary

This Chinese stock-screening proposal combines price amplitude, a daily control-related measure, and afternoon large-order net inflows. Its revised version adds fundamental filters: price-to-book should fall in the market’s lowest quartile, while dividend yield should be in the highest quartile. The accompanying examples also describe ranking candidates and selecting a limited number of stocks, though the wording and code do not consistently define the control measure or thresholds.

The rationale is to combine price movement and investor-flow signals with valuation and income characteristics. The document warns that afternoon large-order activity may not represent the broader market, that a short-term flow focus can distract from company fundamentals, and that relying on few indicators can produce biased selections. It recommends considering more market and company information. No backtest or performance evidence is supplied, and the platform-specific formulas and sample code contain ambiguities that would need resolution before implementation.

Key ideas

• The proposed screen combines amplitude, a daily control-related measure, and afternoon large-order net inflows.
• Its revised criteria add low price-to-book and high dividend yield relative to market quartiles.
• The stated rationale mixes short-term price and flow signals with fundamental characteristics.
• The document cautions that order-flow measures can be incomplete and that indicator selection is narrow.
• No backtest evidence is supplied, and some definitions and code details are ambiguous.

Tags

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