Screening A-Shares by Intraday Amplitude, Large-Order Flows, and Returns

Summary

This post proposes an A-share screen based on daily amplitude above 1%, afternoon large-order net inflows, and a daily return between -5% and 2.6%. Among qualifying stocks, it says to prefer the highest-return names. The post frames amplitude as a measure of price activity and afternoon flows as an indication of trading interest, then provides a platform formula and a Python example intended to implement the filters.

No historical test, performance statistics, or comparison with a benchmark is supplied. The author cautions that the method focuses on short-term price movement and order-flow proxies, leaving company fundamentals and longer-term prospects unaddressed. The suggested refinements include adding measures such as volume and valuation and revisiting the return thresholds. The example code also appears to apply conditions across historical observations and its stated sorting logic does not clearly implement ranking by return, so the written rule should be checked against any practical implementation.

Key ideas

• The screen combines daily amplitude, an afternoon large-order flow condition, and a bounded daily return.
• The stated selection rule favors the highest-return stocks among those meeting the filters.
• The post supplies formula and code examples but no empirical performance evidence.
• The method focuses on short-term signals and omits a thorough assessment of fundamentals.
• The sample code may not match the stated ranking rule and should be reviewed before use.

Tags

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