Chinese Stock Screen Combining Amplitude, Five-Day Average, and Afternoon Flow

Summary

This stock-selection proposal combines a price-range condition, a short moving-average filter, and an afternoon trading-flow signal. It seeks stocks whose amplitude exceeds 1%, whose price is above the five-day moving average, and whose afternoon net flow is positive. The post interprets these conditions as indicating greater short-term movement, an upward price trend, and buying interest during the latter part of the session.

The document includes illustrative indicator and data-processing examples, including afternoon tick data between 13:30 and 15:00. It does not provide performance results or a defined historical evaluation. The author notes that the signals may be short-lived, that afternoon flow can reflect temporary market themes or capital activity, and that the conditions may overfit. The post recommends combining technical signals with company and market analysis, but it gives no method for doing so. Data definitions and the exact flow calculation also need careful validation before the screen can be evaluated.

Key ideas

• The proposed screen combines amplitude above 1%, price above its five-day average, and positive afternoon net flow.
• The moving-average condition is intended to identify stocks with short-term upward price behavior.
• Afternoon flow is treated as a possible indicator of buying interest, but can be affected by temporary market activity.
• The examples use afternoon tick data from 13:30 to 15:00.
• No historical performance evidence is provided, and the author flags overfitting and signal obsolescence risks.

Tags

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