Screening Chinese Stocks by Intraday Range, Reversal, and Afternoon Flow

Summary

This document presents a Chinese stock screen combining three conditions: daily high-to-low range above a threshold, a reversal or engulfing-style price pattern, and afternoon buying activity inferred from trading volume. The accompanying discussion frames the range as a volatility filter, the reversal pattern as a short-term change in direction, and the afternoon flow measure as an attempt to identify concentrated buying. It also supplies example indicator and Python implementations, though their definitions are not fully consistent: the Python example uses a candlestick pattern and a last-bar price-volume calculation, while the formula describes a ratio of up-volume to down-volume.

The document gives no backtest, performance statistics, or evidence that the combined screen predicts returns. It acknowledges that flow readings can be distorted by market conditions and that reversal signals are short-lived. It suggests combining the screen with other indicators and setting a flow threshold, but does not provide a tested procedure for doing so. The criteria are therefore best understood as a screening idea requiring precise implementation and independent evaluation.

Key ideas

• The screen combines a minimum daily price range, a reversal pattern, and an afternoon flow proxy.
• The article interprets range as a volatility filter and reversal as a short-term signal.
• Its formula and Python examples use different constructions for reversal and buying flow.
• The document reports no measured returns or backtest results.
• Market effects can distort flow readings, and reversal signals may have limited duration.

Tags

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