Chinese Stock Screen for Amplitude, Institutional Flow, and Recent Limit-Ups

Summary

This Chinese-market stock screen combines three filters: a five-period amplitude measure above one, a change in an institutional volume-difference measure, and at least one limit-up event within the prior 25 trading days. The article says to select qualifying stocks after the market opens. It provides corresponding screening expressions and a Python illustration using turnover and volume data, lagged values, and a rolling count of large daily gains as proxies for the conditions.

The article presents the filters as a way to find volatile stocks with signs of institutional buying and recent strength, but it does not show a backtest, return series, or comparison against a baseline. It warns that broad market or company changes can undermine the conditions and that combining many filters does not ensure investment quality. The sample implementation references individual stock data and illustrative thresholds; it should not be treated as proof that the expressions faithfully reproduce the platform indicators or as a fully specified portfolio strategy. The article suggests adjusting conditions or adding other data, without evaluating those changes.

Key ideas

• The screen requires amplitude above one, a nonzero change in an institutional volume-difference measure, and a recent limit-up event.
• It is intended to select stocks after the market opens.
• The article gives platform expressions and a Python illustration based on historical stock fields.
• No performance results or baseline comparison are provided.
• The author cautions that the filters may become ineffective and do not guarantee suitable investments.

Tags

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