Chinese Stock Screening with Intraday Flows and a Rising Moving Average

Summary

This document describes a Chinese equity screen combining daily amplitude above 1, afternoon large-order net inflow, and a rising 30-day moving average. Among stocks meeting the conditions, it proposes choosing the one with the greatest gain. The accompanying indicator references express amplitude as a percentage of the prior close and compare 30-day and 60-day average closes. The stated flow condition uses price and volume data as a proxy for afternoon large-order activity.

The document gives no backtest results or performance evidence. It cautions that the screen emphasizes short-term volatility and flows while omitting company fundamentals and long-term prospects; selecting the strongest gainer can also expose an investor to drawdowns. It suggests adding valuation, market capitalization, or industry filters. The supplied Python example has apparent implementation inconsistencies, including ranking on a Boolean score and applying conditions across a year of data, so its behavior should not be treated as a validated implementation of the described daily selection rule.

Key ideas

• The screen combines amplitude above 1, afternoon large-order net inflow, and an upward-sloping 30-day moving average.
• It proposes selecting the highest-gaining stock among those that pass the filters.
• The document frames the price-volume rule as a proxy for afternoon large-order flows.
• The screen omits fundamental and long-horizon analysis and may expose selected stocks to pullbacks.
• Valuation, industry, or market-cap filters are suggested as possible additions.

Tags

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