Chinese Stock Screen Using Daily Range, Afternoon Flow, and Prior Limit Status

Summary

This Chinese stock screen combines three conditions: daily price range must exceed one percent of the previous close, an afternoon large-order net-inflow proxy must be positive according to a stated formula, and the prior session’s high must have been below its upper price limit. The post interprets range as a measure of volatility, the flow condition as a sentiment signal, and excluding prior limit-up stocks as a way to avoid shares that may already be overheated.

The document offers no backtest, return statistics, or evidence that these proxies identify profitable trades. It acknowledges that the small set of inputs omits fundamentals and broader market conditions, that excluding prior limit-up stocks can miss continued winners, and that high volatility or large-order activity may signal elevated risk. It recommends adding financial measures and industry or macro context. The supplied implementation sketch appears inconsistent with the described afternoon-only condition and applies tests across historical data, so the exact operational screen is not fully specified. The rules should therefore be treated as a preliminary candidate filter.

Key ideas

• The selection combines a minimum daily range, a formula-based afternoon flow proxy, and exclusion of prior limit-up stocks.
• The range and flow conditions are presented as volatility and sentiment indicators.
• Excluding prior limit-up stocks may also filter out shares that continue rising.
• No backtest or profitability evidence is given, and the document identifies missing fundamental and market context.
• The implementation sketch does not fully clarify how to apply the afternoon condition consistently.

Tags

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