Screening Stocks for Daily Price Movement and Afternoon Large-Order Inflows

Summary

This Chinese equity screen selects stocks with daily amplitude above 1%, a listing age greater than one year, and positive afternoon large-order net inflow. The article presents amplitude as a proxy for market activity, listing age as a way to avoid newer stocks, and large-order flows as a partial indication of large-trader behavior. It provides illustrative formula and Python examples, but the code’s amplitude calculation and flow data may not precisely implement the stated afternoon-specific conditions.

No backtest, performance statistics, or benchmark comparison is provided, so the proposed filters are not evidence of an expected return. The document notes that large-order inflow does not reliably predict future movement and that the method omits company fundamentals. It suggests combining the flow signal with other technical and risk measures, such as moving averages, MACD, valuation, or volatility. The signal definitions and data availability should be checked before applying the screen.

Key ideas

• The screen combines daily amplitude above 1%, listing age over one year, and positive afternoon large-order net inflow.
• The article treats amplitude as a measure of activity and listing age as a filter for newer stocks.
• Large-order inflows may not predict future price direction, and the screen omits company fundamentals.
• The examples are illustrative and do not provide evidence of profitability.

Tags

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