Screening Equities by Intraday Amplitude, Turnover, and Volume

Summary

This Chinese stock screen combines a minimum daily price amplitude with a bounded turnover range and a late-session large-order inflow condition. Its stated rationale is to find shares showing meaningful movement and trading activity, then use the afternoon flow condition as an additional liquidity signal. The formula section operationalizes the last condition using a price-range test and volume greater than twice the prior 30-day minimum, though that proxy is not clearly equivalent to measuring afternoon large-order net inflow.

The document provides indicator logic and sample implementation references, but no historical backtest, performance results, or evidence that the screen predicts returns. It explicitly notes that the rules omit company fundamentals and that market complexity makes success uncertain. It suggests adding financial, industry, policy, or market-theme information for a fuller assessment. The screen is therefore a mechanical candidate filter, not a complete valuation or trading system; its data definitions and timing assumptions would need to be checked before use.

Key ideas

• The screen requires daily amplitude above 1 and turnover between 2% and 9%.\nIt adds a late-session inflow condition, represented in the formula by price-range and relative-volume tests.\nThe document presents no backtest evidence or measured returns for the rules.\nFundamental and broader market factors are omitted and could change the interpretation of selected stocks.

Tags

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