Chinese Stock Screen Combining Volatility, Market Flows, and Size

Summary

This Chinese equities screen looks for stocks with daily amplitude above one, circulating market capitalization above 10 billion yuan, and an outside-to-inside trading ratio above 1.3. The post describes amplitude as a proxy for trading activity, company size as a selection constraint, and the trading ratio as an indication of buying pressure. Its example also restricts candidates to Shanghai main-board listings. It provides indicator formulas and a Python-style illustration for applying the conditions to market and flow data, but reports no backtest or performance evidence.

The author cautions that the screen omits company fundamentals, industry context, and long-term direction. Because trading flows can fluctuate, short-term buying pressure may encourage chasing price moves and does not establish durable prospects. Suggested refinements include reviewing financial condition, business outlook, industry trends, and the broader economic setting. The post presents this as a screening template, not as evidence of a reliable standalone strategy.

Key ideas

• The screen combines a minimum amplitude, a large circulating market capitalization, and a buying-to-selling flow ratio above 1.3.
• The example limits candidates to Shanghai main-board equities.
• The post treats the flow ratio as a short-term indication of buying interest rather than proof of lasting strength.
• It recommends considering company finances, industry conditions, and long-term prospects alongside the screen.
• No backtest or returns analysis is provided.

Tags

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