Screening Shanghai-Listed Stocks for Intraday Inflows and Price Range

Summary

This note describes a Chinese stock screen combining three conditions: a daily high-to-low range above one percent of the prior close, a formula intended to identify afternoon large-order net inflows, and a stock code beginning with 60. It presents the screen as a way to find shares with notable short-term movement and buying activity, and includes formula and Python examples to illustrate the criteria.

The document offers no backtest, performance data, or evidence that the conditions predict returns. Its own risk discussion says the screen ignores longer-term trends and company fundamentals, and that restricting codes to those beginning with 60 may create sample bias. The implementation details also differ: the Python example uses average price range and close-open volume calculations, which may not match the stated intraday and large-order conditions. Any use of the screen would require clarifying the definitions and testing them against historical data, with risk controls.

Key ideas

• The screen selects stocks whose daily range exceeds one percent of the previous close.
• It combines the range condition with a measure intended to capture afternoon large-order inflows.
• The stock universe is limited to codes beginning with 60.
• The note warns that short-term indicators omit fundamentals and broader market trends.
• The code examples may not implement the written criteria consistently.

Tags

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