A Chinese Stock Screen Combining Volatility, Listing Code, and Institutional Buying

Summary

This post proposes a stock screen combining daily amplitude above one percent, codes beginning with 60, and an institutional buying signal. Its examples express amplitude as the day’s high-low range divided by the previous close. The institutional condition is represented by a price-based indicator in one version and by a data query selecting stocks with at least ten institutions increasing holdings in another. The intended result is a list of candidates rather than a complete portfolio or entry-and-exit system.

The post says that large amplitude indicates higher volatility and that institutional buying may be a useful signal, while cautioning that this factor alone cannot establish long-term value or risk. It recommends adding technical and fundamental variables or using a multi-factor model. No backtest, return series, benchmark, or transaction-cost analysis is provided, and the two implementations appear to operationalize the institutional condition differently. The screen is therefore a starting hypothesis whose definitions and performance require independent validation.

Key ideas

• The screen selects stocks with daily amplitude above one percent and codes beginning with 60.
• An institutional buying condition is included, but its implementation differs between the examples.
• The post treats institutional activity as one input rather than a complete assessment of investment value.
• It suggests combining the screen with technical, fundamental, or multi-factor analysis.
• No performance test or transaction-cost analysis is reported.

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