Combining Opening-Gap, Long-Term Trend, and Fund-Flow Filters

Summary

This post describes a Chinese equity screen combining three conditions: reported position increases above a threshold, the prior close above a long-term moving average, and a limited opening gain at 9:25. It also offers an alternative using turnover and a shorter moving average with the same opening-gap condition. The rationale is to pair a fund-flow proxy and price trend with a constraint intended to avoid stocks that have already surged before the open.

The post gives qualitative reasoning and sample code concepts, but no backtest results or evidence that the signals predict returns. It acknowledges that flow data, price trends, opening moves, sentiment, and trading volume can be noisy. Its code example's calculations and labels do not clearly match the stated filters, so the implementation needs careful validation before use. The article suggests adding valuation and market context, but does not specify or test those additions.

Key ideas

• The main screen combines a fund-flow proxy, a long-term moving-average condition, and a capped pre-open gain.
• An alternative substitutes turnover and a shorter moving average for the fund-flow and long-term trend conditions.
• The author warns that each input can be distorted by market conditions and data noise.
• The post provides no performance study, and its sample calculations require validation against the stated rules.

Tags

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