Chinese Stock Screen Using Intraday Range, Two-Day Highs, and Afternoon Flow

Summary

This Chinese-language description outlines an equity screening rule that combines a daily amplitude threshold, a high equal to the highest high across two days, and positive afternoon large-order net inflow. Its rationale is to pair price movement and a short-term high with an indicator of trading activity or capital flow. The document also provides formula references and a Python-style example; the flow proxy classifies volume as positive when the close is above the open and negative when it is below, which is not a direct measure of large orders.

The text flags that relying only on afternoon flow may miss other parts of the session, and that the screen omits company fundamentals. It suggests considering additional flow and fundamental measures, but supplies no validation, historical results, or detailed implementation for those additions. The final screening description broadens the flow criteria without defining them, so the initial three conditions are the clearest reproducible version. The stated filters identify candidates only; they do not specify portfolio construction, entry timing, exits, or risk controls.

Key ideas

• The screen combines amplitude above one, a two-day highest high, and positive afternoon net flow.
• The sample flow calculation uses signed volume based on whether the close is above or below the open.
• The document cautions that afternoon-only flow may not capture activity from other periods.
• It notes that the screen excludes fundamental company information.
• No backtest or performance evidence is provided.

Tags

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