Screening Stocks by Price Range, Prior Turnover, and Afternoon Large-Order Flows

Summary

This stock screen combines three conditions: intraday price amplitude above 1 percent, prior-day trading amount above 60 million yuan, and positive net inflow from large orders during the afternoon. Its stated aim is to find stocks with meaningful price movement and turnover that also show buying pressure in large transactions. The document includes indicator and Python examples, but does not report a backtest, selected securities, or measured returns.

The author notes that the rules do not meaningfully distinguish companies by fundamentals and rely on afternoon order-flow data, potentially overlooking morning activity. Large-order flow can also be misleading or influenced by trading behavior, so the article suggests adding financial filters, comparing flow at multiple times, or validating signals with statistical or machine-learning methods. The criteria describe a selection screen, not a complete strategy: there are no defined entry, exit, position-sizing, or risk controls, and the sample implementation would require checking its data definitions and units.

Key ideas

• The screen combines price amplitude above 1 percent, prior-day turnover above 60 million yuan, and positive afternoon large-order net flow.
• The intended signal is a combination of volatility, liquidity, and apparent buying pressure.
• The rules omit substantial fundamental analysis and may miss information from morning trading.
• Large-order flows can produce false signals and should be assessed across multiple periods or alongside other measures.
• The document provides no backtest or complete trading and risk-management plan.

Tags

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