A Stock Screen Using Rising Lows and Sustained Large-Order Inflows

Summary

This document presents a Chinese equity screen combining daily amplitude above 1, a rising price bottom, and large-order net inflows above 0.05 for at least three consecutive days. It adds a trend filter requiring the 20-day average above the 250-day average, excludes ST-designated shares, and proposes exits below the 30-day average or after a daily decline greater than 8%. It includes example implementations in indicator notation and Python, though some expressions and filters appear inconsistent or unclear.

The rationale is that rising lows and persistent large-order inflows may indicate improving price action and buying interest. The author cautions that the screen omits company fundamentals and that short-lived speculative flows can reverse. Suggested improvements include adding valuation, growth, industry, and other technical or fundamental measures, and examining where the flows originate. No backtest results or performance evidence are supplied, so the proposed rules remain unvalidated in this text.

Key ideas

• The screen combines amplitude, rising lows, and several consecutive days of positive large-order net inflow.
• A long-term trend filter compares the 20-day and 250-day moving averages.
• The proposed risk controls include a 30-day moving-average exit and a daily loss threshold.
• The author warns that the method ignores fundamentals and may be vulnerable to speculative flow reversals.
• The document gives example implementation logic but reports no backtest evidence.

Tags

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