A-Share Screen Using Volatility, Board Exclusion, and Main-Force Control

Summary

This post outlines a Chinese stock selection approach that filters for shares with a minimum daily price range, excludes Beijing-listed stocks, and seeks evidence that major market participants controlled trading on the previous day. It also proposes strengthening the screen with fundamental criteria and a minimum institutional-control share, alongside a target minimum number of selected stocks. Formula and Python-like examples illustrate how the conditions might be represented.

The post identifies several limitations: the screen may overlook long-term fundamentals, the definition of institutional control may be unreliable, and restrictive filters may leave a concentrated set of candidates with elevated market exposure. It recommends quantifying the control measure more carefully and considering market volatility. No historical test or return evidence is supplied, and the suggested implementation details are presented as references that require adaptation.

Key ideas

• The proposed screen combines a price-range threshold, exclusion of Beijing-listed shares, and a prior-day institutional-control condition.
• The post recommends adding fundamental filters and quantifying institutional control more carefully.
• A small candidate set can increase exposure to market risk.
• The examples are illustrative and are not supported by backtest results.

Tags

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