Chinese Stock Screen for Volatility, Institutional Participation, and Turnover

Summary

This Chinese equities screening rule combines three conditions: amplitude above 1, institutional participation above 30, and the prior trading day's actual turnover between 3% and 28%. The article describes the institutional measure as a five-day participation rate and presents the conditions as a way to find volatile stocks with institutional interest and moderate recent trading activity.

The article supplies indicator references and sample implementation snippets, but no backtest, performance evidence, or trading results. The rule is a screening heuristic rather than a complete strategy: it does not define entries, exits, or position sizing, and the article notes that sector and financial risks are omitted. Its code examples also rely on platform-specific fields and data functions, so implementation and assumptions would need independent validation.

Key ideas

• The screen requires amplitude above 1 and institutional participation above 30.
• It restricts the prior session's actual turnover to a range from 3% to 28%.
• The article frames the combination as a way to identify volatile stocks with institutional activity and moderate turnover.
• No performance test is reported, and the screen omits fundamental and sector risks.

Tags

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