A Chinese Stock Screen Using Relative Volume and Institutional Flows
Summary
This stock-selection rule combines three filters: rank stocks by relative volume and keep the highest-ranked group, require positive net institutional flow as reported in a trading disclosure dataset, and exclude stocks whose opening price is more than six percent above the previous close. The stated rationale is to favor unusually active stocks with reported institutional buying while avoiding some sharply gapping openings. The document also suggests adding turnover and trading volume measures for broader screening.
The source identifies risks in interpreting these signals: relative volume can reflect changing market sentiment and accompany high volatility, and reported institutional flows may not represent a stock’s underlying value. It proposes backtesting and adjusting thresholds as market conditions change, but supplies no backtest, return figures, exact rebalance or holding rules, or evidence that the screen is profitable. The described criteria are therefore a candidate selection process, not a complete portfolio or execution plan; further specification and historical evaluation would be needed to assess its behavior and risks.
Key ideas
- The screen ranks stocks by relative volume and selects those near the top of the ranking.
- It requires positive net institutional flow according to the cited disclosure data.
- It excludes stocks with an opening gain of six percent or more versus the prior close.
- The source cautions that volume and institutional flow measures can be noisy or misleading.
- It recommends adding other indicators and evaluating the rules through backtesting.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.