Chinese Stock Screen for Recent Gains and Rising Holdings

Summary

This note describes a Chinese equity screen combining a positive but bounded 10-day price gain, market capitalization above 200 million, and a daily increase in holdings greater than 5%. It presents the holdings change as a possible sign of large investor inflows, while the recent gain is intended to capture an upward trend that has not yet become extreme. The article also shows an example that adds a moving-average trend filter, requiring the 20-day average to exceed the 50-day average.

The rationale is descriptive rather than empirical: no backtest, performance figures, or comparison with alternative screens is provided. The author warns that large holders may sell and that size alone does not establish stability or liquidity. Suggested additions include valuation measures and technical indicators. The screen is therefore a starting point for research; its signals, definitions, data quality, trading costs, and risk controls would need independent evaluation.

Key ideas

• The screen requires a 10-day gain above zero and below 35%, market capitalization over 200 million, and a daily holdings increase above 5%.\nThe article interprets the holdings change as a possible indication of institutional or other large investor buying.\nAn example implementation adds a moving-average filter with the 20-day average above the 50-day average.\nThe note gives no performance evidence and cautions that large investors can reverse their positions.

Tags

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