A Stock Screen Combining Volatility, Opening Gains, and Institutional Flow

Summary

The post proposes a Chinese equity screening rule that combines daily amplitude above 1, a 9:25 gain below 6%, and a positive institutional-activity measure. It frames the conditions as a blend of short-term volatility, price movement, and institutional attention, and suggests using the screen as one input to stock selection. It further recommends checking strength or potential alongside fundamentals, valuation, financial condition, and industry trends.

The author warns that institutional activity is uncertain and that high attention does not guarantee strong performance, so relying on it alone may produce poor selections. An indicator expression and illustrative Python workflow are included to retrieve market data and filter stocks, but the code's measures and implementation are not validated in the post. No backtest results or evidence of profitability are reported. The screen is therefore a proposed heuristic whose definitions, data availability, and predictive value would need independent testing before practical use.

Key ideas

• The proposed screen combines amplitude, a 9:25 price-gain limit, and positive institutional activity.
• The post treats the conditions as candidate inputs rather than a complete selection model.
• It recommends adding fundamental, valuation, financial, and industry checks.
• Institutional attention is presented as uncertain and insufficient on its own.
• The sample code is illustrative, with no reported backtest or performance validation.

Tags

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