Chinese Stock Screen Using Amplitude and Investor-Control Indicators

Summary

This post proposes screening Chinese stocks by daily price amplitude, a measure described as current-day shareholder control, and prior-day major-investor net buying. It presents the combination as a way to capture market sentiment and capital flows. The article’s final rule specifies amplitude above 1, a control measure above 21, and positive prior-day net buying; a sample implementation sorts qualifying stocks by recent price change and returns a small subset.

The post acknowledges that “control” is ambiguously defined, that the screen omits company fundamentals, and that relying heavily on a few indicators creates risk. It recommends defining the measure more precisely and adding fundamental and industry variables. There is an inconsistency between the opening condition referring to prior-day control and the final rule and sample code, which use prior-day net buying instead. No backtest results or validation are reported, and the code is explicitly presented as a reference requiring adaptation, so the screen should be treated as an untested example rather than an established strategy.

Key ideas

• The proposed screen combines daily price amplitude, a shareholder-control measure, and prior-day major-investor net buying.
• The article’s final rule requires amplitude above 1, current control above 21, and positive prior-day net buying.
• Its sample implementation further ranks selected stocks by recent price change.
• The post notes that the control measure is unclear and that fundamentals are omitted.
• The stated prior-day condition is inconsistent across the opening description, final rule, and sample implementation.
• No backtest or evidence of performance is provided.

Tags

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