Chinese Stock Screen Combining Volatility, Trading-List Flows, and Industry

Summary

This note proposes screening Chinese stocks for prior-day trading-list appearances with buy amounts greater than sell amounts, an amplitude threshold, and membership in a beverage or alcohol-related industry. It presents the combination as a way to capture unusual capital flows alongside industry exposure. The examples show how the conditions might be combined and how the resulting stocks could be sorted.

The article identifies market-wide and industry-specific changes as risks and suggests considering broader economic and industry factors. It provides no backtest or evidence that the signals generate returns. There are also inconsistencies that matter for implementation: the prose refers to a beverage and alcohol import-export industry, while the Python example filters for beverage manufacturing; the amplitude calculation is not fully aligned with the formula example, and the final sorting differs between examples. These issues make the screening rule difficult to reproduce without resolving its definitions.

Key ideas

• The screen combines price amplitude, prior-day trading-list buying pressure, and industry membership.
• The stated rationale is to pair unusual capital flow with an industry filter.
• The note warns that overall market conditions and industry changes can affect results.
• The industry definition and some implementation details conflict across the examples.
• No backtest or empirical return evidence is presented.

Tags

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