China Stock Screen Using Volatility, Institutional Flow, and Robotics Themes

Summary

This post proposes a daily stock screen run after the market opens, combining four filters: a five-period amplitude measure above one, a change in an institutional trading-flow proxy, a positive and rising robotics concept signal, and circulating market capitalization below 10 billion yuan. It gives corresponding platform formulas and a Python-style example intended to show how selected securities might be assembled from market and concept data.

The rationale is that larger price movement and institutional activity may identify relevant candidates, while the robotics theme reflects a market focus and the capitalization cap targets smaller companies. The post warns that theme popularity may be temporary and that small-cap names can have poor liquidity. It suggests adding profitability and cash-flow measures. No backtest results, trade rules for exits, position sizing, transaction costs, or validation of the proxy definitions are provided, so the screen is a starting hypothesis rather than demonstrated evidence of an effective strategy.

Key ideas

• The proposed screen combines recent amplitude, an institutional-flow proxy, a rising robotics-theme signal, and a small-cap limit.
• The selection is intended to run after the daily open.
• The author flags theme concentration and weaker liquidity among small companies as risks.
• Profitability and cash flow are suggested as additional filters, but no performance evidence is supplied.

Tags

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