Equity Screening by Price Range, Afternoon Flow, and Prior Turnover

Summary

The post describes a Chinese equity screening rule that combines three filters: daily high-to-low range above a stated threshold, an afternoon large-order net inflow condition, and prior-day turnover above a stated amount. It presents the selected shares as candidates and includes example indicator expressions and a Python-style implementation intended to retrieve market data and collect matches.

The accompanying rationale is that range and large-order flow reflect volatility and capital activity, while prior turnover may indicate trading activity. The post cautions that the screen omits company fundamentals and broader market direction or cycles, and suggests combining additional fundamental or technical measures. It supplies no backtest, benchmark, risk-adjusted performance, or evidence that the filters predict returns. The sample logic and data calls would need validation before practical use, including checking whether the conditions are applied over the intended dates and whether the data fields and formulas behave as assumed.

Key ideas

• The screen combines a price-range threshold, afternoon large-order flow, and prior-day turnover.
• The post interprets these filters as measures of volatility, capital activity, and liquidity.
• It provides example formulas and a data-driven screening implementation.
• The strategy omits fundamentals and broad market conditions, and no performance test is reported.

Tags

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