Chinese Stock Screen Combining Volatility, Limit-Down Pricing, and Institutional Flow

Summary

This Chinese stock-selection proposal combines a large intraday amplitude with a prior-day 9:15 indicative match price at the limit-down price and positive institutional trading direction. Its refined version adds a requirement that estimated institutional net buying exceed 5% of the day’s total turnover. The document also describes sorting qualifying names by market capitalization in its sample implementation.

The rationale offered is that a large range may create opportunities, the prior indicative price condition may reflect market stress, and positive institutional flow may indicate buying interest. These explanations are not supported with performance data. The author notes that the screen omits company fundamentals and can return many candidates, recommending additional financial and technical analysis alongside stop-loss and position controls. The formula and sample code are illustrative, and the document warns that practical use may require adaptation.

Key ideas

• The screen combines intraday amplitude, a prior session indicative limit-down condition, and positive institutional flow.
• The refined criteria require institutional net buying to exceed 5% of total turnover.
• The sample approach sorts qualifying stocks by market capitalization.
• The article provides a rationale and cautions, but no evidence that the screen is profitable.

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