Screening Chinese Stocks by Turnover, Recent Return, and Afternoon Inflows

Summary

The post describes a Chinese equity screen applied after 2 p.m. It selects stocks with turnover between 3% and 12%, a positive return over the prior ten days below 35%, and positive large-trade net inflows in the afternoon. A Python example sketches a related filter and also excludes certain listings, recently listed stocks, and stocks marked ST. The sample uses daily and money-flow data, though its code does not clearly implement every stated condition or the afternoon-only timing.

The author argues that late-day large-trade inflows may help identify stocks with stronger capital flows, while warning that afternoon action may not carry forward. The post offers no backtest results or evidence of predictive performance. It cautions against relying on a single screen, notes greater volatility after 2 p.m., and suggests combining the filter with technical or fundamental analysis and risk controls.

Key ideas

• The proposed screen combines turnover, recent price change, and afternoon large-trade net inflows.
• It is intended to run after 2 p.m. and focuses on Chinese stocks.
• The example also filters out selected listings, recently listed companies, and ST stocks.
• The article warns that late-day behavior may not predict future performance and that the screen is incomplete on its own.
• No backtest results are supplied, and the sample code does not clearly capture every stated screening condition.

Tags

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