Chinese Stock Momentum Screen Using Afternoon Inflows and Turnover

Summary

This note outlines a short-term Chinese equity selection rule. It filters for stocks with daily amplitude above 1%, afternoon large-order net inflows, and previous-day actual turnover between 3% and 28%, then says to choose the highest-gaining candidate. The accompanying formula and Python sketch attempt to represent these conditions using price, volume, and turnover data.

The method emphasizes volatility, trading activity, and capital flow, rather than company fundamentals or longer-term prospects. The author flags that ranking by recent gains can expose the selection to sharp reversals and drawdowns, and suggests adding valuation, market-capitalization, or industry filters. No backtest or performance evidence is presented. The code sketch also leaves the ranking and time-window implementation unclear, so the examples should be treated as an outline rather than a validated, ready-to-run strategy.

Key ideas

• The screen requires amplitude above 1%, afternoon large-order net inflow, and prior-day turnover from 3% to 28%.
• It proposes selecting the candidate with the greatest gain after applying the filters.
• The approach uses short-term price and trading-activity signals without a detailed fundamental assessment.
• The article warns that ranking by recent gains may increase reversal and drawdown risk.
• No performance results are given, and the code sketch leaves parts of the ranking logic unclear.

Tags

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