Chinese Stock Screen Using Amplitude, RSI, and Institutional Net Flows

Summary

This stock-selection proposal combines three conditions: daily amplitude above 1, RSI below 65, and positive net inflow attributed to major institutional participants. The amplitude and RSI filters aim to identify shares with price movement that are not strongly overbought, while the flow condition is treated as a possible sign of institutional buying. The document provides formula references and describes the filters as a screening rule, not a complete entry and exit strategy.

It cautions that institutional activity can change and that focusing on these signals may overlook company fundamentals, market conditions, or sector themes. It suggests refining the definition of institutional buying with measures such as net capital inflows or institutional ownership, combining the screen with valuation and market capitalization filters, and applying risk controls. No backtest results or evidence of profitability are presented, and the meaning and reliability of the flow measure remain important limitations.

Key ideas

• The screen requires amplitude above 1, RSI below 65, and positive institutional net inflow.
• The proposed filters combine price movement, momentum, and a proxy for institutional demand.
• The document recommends adding fundamental filters and risk controls.
• No empirical performance results are provided.

Tags

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