A Stock Screen Combining Volatility and Institutional Activity

Summary

The post describes a Chinese-stock screening recipe that combines three conditions: a five-period amplitude measure above one, a change in an institutional trading-volume difference, and cumulative institutional increases during 2021 meeting a stated threshold. It says the screen is run after the daily open. Formula references are provided for each filter, along with illustrative Python-like code that applies the conditions and returns qualifying stock codes.

The author characterizes large amplitude as evidence of volatility and institutional buying as a sign of institutional interest, but offers no backtest, selected-stock examples, or return data to support the screen’s effectiveness. The definitions and data fields behind the institutional measures are not explained in depth, and the example mixes market-data calls with undefined objects. The post itself cautions that changing market conditions can make the filters ineffective and that adding many conditions does not ensure investment merit; it suggests reducing filters or incorporating other data.

Key ideas

• The screen combines an amplitude threshold, a change in an institutional volume measure, and institutional increases during 2021.
• The stated process selects qualifying stocks after the market opens each day.
• The post provides indicator expressions and illustrative selection code, but leaves some data definitions unclear.
• No backtest or performance results are presented.
• The author warns that market changes and numerous filters can weaken the screen’s usefulness.

Tags

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