Filtering Large-Cap Stocks by Intraday Range and Afternoon Fund Flows

Summary

This stock-selection screen combines three conditions: a daily high-to-low range above one percent of the prior close, a proxy for large-order net inflows during the afternoon, and circulating market capitalization above 10 billion yuan. The stated aim is to find relatively volatile, larger companies with substantial tradable market value and positive late-session fund-flow signals. The document provides formula examples and sample code for screening stocks using market and trading data.

The flow condition is expressed through price movement and volume calculations, so it should be treated as a proxy rather than a direct measurement of large-order activity. The article offers no backtest or return evidence and warns that market capitalization can be misleading and market conditions can change the screen’s effectiveness. It suggests adding valuation and financial measures, as well as assessing each candidate’s fundamentals, technical picture, and policy exposure. Risk controls and capital management are also identified as necessary for subsequent trading decisions.

Key ideas

• The screen requires a daily range above one percent, an afternoon inflow proxy, and circulating market value above 10 billion yuan.
• The formula estimates large-order inflows indirectly from price and volume data.
• A large circulating market value does not by itself establish sound fundamentals or attractive valuation.
• The document provides screening examples but no evidence of historical performance.
• Further fundamental review and risk management are needed before trading selected stocks.

Tags

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