Screening Stocks by Intraday Inflows, Amplitude, and Ten-Day Returns

Summary

This document describes a short-term stock screen that combines daily price amplitude above a threshold, afternoon large-order net inflows, and a positive ten-day return capped below another threshold. It explains the filters as a way to identify volatile shares with recent buying activity and bounded recent gains. Formula and Python examples illustrate calculations for amplitude, a volume-related inflow proxy, and ten-day price change, alongside a restriction to a subset of Chinese listings.

The document provides no backtest or return evidence. It cautions that the screen focuses on a few short-term signals and excludes longer-term market direction and company fundamentals; results may also depend on the chosen parameters. It recommends broader analysis and risk and capital management, but does not define an execution plan or demonstrate that the filters have an edge. The code examples should be treated as illustrations rather than validated implementations.

Key ideas

• The screen combines price amplitude, afternoon large-order inflow, and a bounded positive ten-day return.
• The amplitude condition is intended to select stocks with noticeable short-term price movement.
• The inflow proxy uses price and volume-related inputs, but the document does not validate it against actual order flow.
• The article warns that short-term filters omit fundamentals and longer-term market trends.
• No backtest or evidence of profitability is provided, and parameter choices may affect results.

Tags

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