A Stock Screen Combining Recent Amplitude, Institutional Flow, and Opening Gap

Summary

This Chinese equity screen selects stocks after the open using three conditions: a recent amplitude measure above one, a change greater than 0.05 in institutional participation between the current and previous day, and an opening return below six percent relative to the prior close. The post describes these as a way to identify volatile stocks with signs of institutional buying while avoiding sharp opening gaps. It also supplies indicator formulas and an illustrative Python outline, though the code depends on platform-specific fields and contains implementation inconsistencies.

The post offers no performance results or backtest evidence. Its own caveats are that a narrow focus on opening behavior and institutional flow can miss full-day price action and other market conditions. It suggests adding technical and fundamental filters, setting entry and stop-loss rules, and adapting the holding or selection period to market conditions and risk preferences. The proposed filters therefore form a screening idea, not a validated standalone strategy.

Key ideas

• The screen requires a recent amplitude measure above one and a change in institutional participation exceeding 0.05.
• It also limits the opening return to less than six percent relative to the previous close.
• The post provides formulas and sample implementation guidance but reports no backtest evidence.
• Its narrow intraday focus may overlook later price movements and broader market conditions.

Tags

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