Screening Chinese Stocks by Volatility, Market Capitalization, and Afternoon Flows

Summary

This document describes a Chinese stock screen combining intraday amplitude above 1%, circulating market capitalization above 10 billion yuan, and positive afternoon net inflow from large orders. It presents the combination as a way to identify relatively active, larger companies attracting afternoon buying. An indicator formula and a Python example demonstrate possible filters, with the example also ranking candidates by market capitalization and checking money-flow data.

No backtest or performance evidence is reported. The article warns that the screen may include risky stocks during market downturns or after unexpected events, and suggests adding fundamental measures and volatility constraints. The code example’s data requirements and handling of dates, market categories, and order-flow fields would need verification before practical use. Positive afternoon flows and larger size alone do not establish that a stock is fundamentally strong or likely to continue rising, so the criteria should be treated as a candidate-selection heuristic rather than a demonstrated strategy.

Key ideas

• The screen combines amplitude above 1%, circulating market value above 10 billion yuan, and positive afternoon net inflow from large orders.
• The article interprets the filters as a combination of activity, company scale, and buying pressure.
• The Python example ranks selected stocks by market capitalization and uses money-flow data.
• The document reports no tested returns and recommends adding fundamental and risk filters.

Tags

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