Chinese Stock Screen Combining Amplitude, Institutional Activity, and Order Flow

Summary

This document proposes a Chinese main-board stock screen combining price amplitude, institutional participation, and the balance of aggressive buying and selling. The final rule specifies an amplitude threshold over a 15-day window, institutional participation above 25% over that window, and a stated order-flow ratio threshold above 1.3. The article interprets these conditions as identifying volatile stocks with institutional interest and stronger buying pressure.

It includes indicator references and a Python sketch, but the code is illustrative and does not establish a reproducible or tested implementation. In particular, the stated ratio condition and the formula shown for normalized external-versus-internal volume are not obviously equivalent. The text warns that short-term sentiment may lead to chasing prices and losses, and notes that the screen uses only a limited set of factors. It recommends adding technical and fundamental measures and managing risk. No backtest, return data, or evidence that the signals predict future performance is reported.

Key ideas

• The proposed screen combines 15-day amplitude and institutional participation with an order-flow measure.
• The article interprets high amplitude as greater volatility and the order-flow condition as stronger buying pressure.
• The formula and code examples may not implement the written ratio condition consistently.
• The document identifies chasing short-term moves and relying on few indicators as key risks.
• It provides no backtest or performance evidence for the screening rule.

Tags

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