Chinese Stock Screen for Volatility, Institutional Flow, and Lower Lows

Summary

The document outlines a Chinese stock-selection screen combining three conditions: daily amplitude above one, a change in a proxy for institutional trading activity, and a current low below the previous day’s low. It then limits the universe to stocks in the top half by market capitalization, with selection performed at the start of each year. The proposed rationale is that elevated movement and institutional activity may identify candidates, while a lower low is framed as a possible rebound setup.

The source warns that the screen omits fundamentals and valuation, and that a lower low does not establish that a rebound will follow. It suggests adding measures such as valuation and liquidity, but supplies no backtest, defined holding period, exits, portfolio sizing, or risk controls. Its sample Python is illustrative and has apparent data and implementation gaps, so the stated conditions should not be treated as a validated strategy. The rule set is specific to Chinese equities and depends on the source’s institutional-flow proxy.

Key ideas

• The screen combines amplitude above one, a change in an institutional-activity proxy, and a lower daily low than the previous day.
• It selects from the half of the stock universe with the largest market capitalization at each year’s start.
• The source presents a lower low as a possible rebound setup, while acknowledging that it does not guarantee a rebound.
• The strategy does not include company fundamentals or valuation in its stated core rules.
• The document provides no backtest, holding-period rule, exit conditions, or risk-management method.

Tags

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