Chinese Stock Screen Combining Price Amplitude and Institutional Flow

Summary

This document outlines a stock-selection rule that excludes Beijing-listed shares, requires price amplitude above 1%, and selects stocks with positive institutional-flow readings. It identifies the flow measure as DDX and describes a positive value as indicating institutional buying pressure. Formula examples and a Python sketch are included; the sketch additionally compares DDX with its average and applies positive price-to-earnings and price-to-book filters.

The article cautions that price movement and flow readings are imperfect signals: volatile shares may not be attractive investments, institutional-flow measures may not reflect the full market picture, and technical or sentiment analysis can overlook fundamentals. It suggests adding valuation measures and adapting the flow reference period to market conditions. There is no backtest, performance evidence, or detailed methodology for the DDX calculation. The written rule, its suggested refinements, and the code example do not use exactly the same selection conditions, so reproducing the screen requires deciding which version to follow.

Key ideas

• The stated screen excludes Beijing-listed shares, requires amplitude above 1%, and looks for positive DDX institutional-flow readings.
• The Python example adds filters based on average DDX and positive valuation ratios.
• The document treats institutional flow as a sentiment input rather than a definitive measure of future returns.
• It warns that volatile shares and technical signals require further fundamental assessment.
• No backtest or measured results validate the proposed screen.

Tags

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