Chinese Stock Screen Using Amplitude, Turnover, Auction Volume, and Institutional Buying

Summary

This Chinese A-share screening idea combines price range, trading activity, and reported institutional buying. It selects stocks with amplitude above 1 and a product of yesterday’s turnover rate and today’s auction volume divided by yesterday’s volume between 0.5 and 2, alongside an institutional buying condition. The accompanying example code instead uses amplitude and turnover rate multiplied by volume ratio, so the implementation does not clearly match every part of the stated screen.

The article argues that these measures can reflect volatility, liquidity, trading conditions, and institutional expectations. It offers no backtest results or performance evidence. It flags that institutional behavior or data may be unreliable and that the screen omits fundamentals and policy factors. Suggested refinements include adding valuation measures and considering institutions by industry and other investor types. These are proposals rather than tested improvements.

Key ideas

• The screen combines amplitude above 1 with a turnover and auction-volume ratio in a stated range.
• It also requires evidence of institutional buying, though the code’s conditions do not fully align with the written formula.
• The article provides no empirical performance results for the screen.
• Institutional activity can change or be measured inaccurately, and fundamentals and policy effects are omitted.
• The author suggests adding valuation measures and broader investor data.

Tags

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