Chinese Stock Screen for Volatility, Institutional Participation, and Float Value

Summary

This proposed Chinese equity screen combines three filters: a five-period amplitude measure above one, a change greater than 0.05 in institutional participation between today and the prior day, and a floating market value of at least 10 billion yuan. It is intended to select stocks after the daily open. The article provides formula references and a Python example that approximates the participation change using large-order buying and selling data.

The write-up offers no backtest, portfolio results, or evidence that the filters predict returns. It cautions that market capitalization alone can miss sector rotation and broader market conditions, and that the screen may need updates as company values change. Suggested refinements include adding financial and valuation measures, adjusting entry and exit timing, and using chart analysis. The code is explicitly presented as a reference, so data availability, indicator definitions, and implementation details need independent checking.

Key ideas

• The screen requires amplitude above one, a daily change in institutional participation above 0.05, and float market value of at least 10 billion yuan.
• It is designed to select Chinese stocks after the market opens.
• The article supplies formula references and an illustrative Python implementation but no performance evaluation.
• The author notes that market capitalization and short-term indicators omit broader market and company fundamentals.
• Possible refinements include valuation filters and a more deliberate holding period and entry-exit plan.

Tags

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