A-Share Screening by Relative Volume, Institutional Buying, and Opening Gap

Summary

This screening recipe combines three signals for mainland Chinese equities: rank stocks by volume ratio and retain the top 100, select those with the highest institutional-seat buying among exchange disclosure data, and require the opening price to be less than 6% above the prior close. The institutional buying list is limited to its top 10 names. The document presents these as measures of trading intensity, reported institutional activity, and the opening price move.

The source gives a brief rationale and flags important limitations: technical measures can be distorted by market noise, disclosure data may be inaccurate or incomplete, and institutional-seat activity may not reveal the buyer’s actual intent. It suggests checking signals against fundamentals and sentiment, validating data across sources, and tracking institutional activity over time. It provides no performance results, and its code excerpt does not fully implement the institutional-data and opening-gap filters, so the stated screen should be treated as a high-level recipe rather than a validated strategy.

Key ideas

• The screen ranks stocks by volume ratio and keeps the top 100.
• It selects the top 10 stocks by reported buying through institutional seats.
• The opening price must be less than 6% above the previous close.
• The source warns that market noise and imperfect disclosures can weaken these signals.
• No backtest or performance evidence is provided.

Tags

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