A Chinese Stock Screen Combining Price Range, Price Level, and Institutional Holdings

Summary

This article outlines an A-share stock screen that combines a daily price-range condition, a closing price of 18.5 yuan, and an increase in reported institutional or circulating-shareholder holdings. It presents both a screening formula and a Python example using market and company data. The intended rationale is to find volatile stocks at a chosen price level where institutional holdings appear to be increasing, with the aim of identifying possible short-term upside.

The document offers implementation examples rather than performance evidence: it reports no backtest, returns, or comparison against a benchmark. Its explanation also notes that a short-term focus can neglect company fundamentals and longer-term value, and suggests incorporating valuation and fundamental measures. The exact price condition is highly restrictive, while the holdings data and sample timing may affect how the screen behaves in practice. The method is therefore a screening hypothesis, not evidence that selected stocks will rise; the article recommends adapting the criteria to the user's needs.

Key ideas

• The screen combines a price-range threshold, a closing price of 18.5 yuan, and increasing institutional holdings.
• The article provides both a formula and a Python-based example of the selection process.
• Its stated aim is to identify possible short-term stock opportunities, not to estimate long-term value.
• No backtest or empirical return evidence is provided.
• The article suggests adding fundamental and valuation measures to broaden the analysis.

Tags

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