A-Share Screen Using Amplitude and Institutional Flow Changes
Summary
This Chinese A-share stock screen combines three filters for a daily selection after the market opens: an amplitude measure above a stated threshold, a change in an institutional trading-volume measure, and exclusion of stocks whose codes begin with three specified prefixes. The document gives corresponding formula expressions and a Python example intended to illustrate how the conditions might be assembled.
The rationale offered is that larger amplitude may identify active stocks and institutional activity may indicate buying interest. The article also notes that excluding a market segment can omit stocks with relevant value or performance, and that the inputs can change over time. It suggests adding profitability and liquidity checks and broadening the data used. No backtest or evidence supports the proposed interpretation, and the sample Python sketch does not establish that its data operations faithfully implement the platform formulas.
Key ideas
- The screen combines an amplitude threshold, a change in an institutional volume measure, and code-prefix exclusions.
- Stocks are selected after the daily market open according to the stated rules.
- The article interprets amplitude as activity and institutional flow changes as possible buying interest.
- It identifies possible omissions from excluding stocks based on code and recommends adding profitability or liquidity filters.
- No performance evaluation is provided, and the Python example is illustrative rather than validated.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.