Screening Stocks for Seven Down Days and Afternoon Large-Order Inflow

Summary

This Chinese-language article describes an A-share screening rule that selects stocks with turnover between 3% and 12%, seven consecutive daily declines, and positive large-order net inflow in the afternoon. It provides formula and Python examples intended to express the screen, with the turnover and order-flow conditions evaluated alongside recent price declines.

The article argues that afternoon large-order inflow may refine a simple falling-price screen, but supplies no backtest results or evidence that the signal predicts subsequent returns. It identifies important omissions: the screen does not account for company fundamentals or financial condition, and large-order flows can vary with market conditions. Suggested improvements include adding financial and macroeconomic data and distinguishing institutional from retail flows. The accompanying code is presented as a reference and may require adaptation to the data source and platform; the article does not specify execution, portfolio construction, or risk controls.

Key ideas

• The screen combines a 3% to 12% turnover range with seven consecutive down days.
• It requires positive afternoon net inflow from large orders.
• The article offers formula and Python examples but reports no performance testing.
• The author notes that fundamentals, macroeconomic conditions, and the composition of order flows are not incorporated.

Tags

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