Screening Stocks by Daily Range, Afternoon Inflows, and Price

Summary

This A-share screening rule combines three conditions: daily amplitude above 1%, an afternoon large-order net-inflow signal, and a closing price of 18.5 yuan. The accompanying formula approximates the range using the high and prior close, and defines the inflow condition through price movement and trading volume. A Python example illustrates applying similar filters to daily stock data.

The author treats volatility, capital inflows, and price level as the screen’s organizing ideas, then cautions that the fixed price cutoff may not fit all sectors and that selected stocks could be affected by manipulation or adverse news. Fundamental, valuation, sector, and broader risk checks are suggested as additions. The post supplies no historical test, return figures, or evidence that the three filters predict performance. Its code also does not establish a robust interpretation of afternoon-specific flows, so the signal definition would need validation before use.

Key ideas

• The screen requires daily amplitude above 1%, an afternoon large-order inflow condition, and a close of 18.5 yuan.
• The examples express the inflow condition through price change and volume.
• A fixed share-price threshold may not be comparable across sectors.
• The author flags manipulation and negative news as risks and recommends broader analysis.
• No performance test or evidence of predictive value is presented.

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