Chinese Stock Screen Using Daily Volatility, Decline, and Institutional Flow

Summary

This Chinese equity screening proposal selects stocks with an amplitude above 1, a largest daily decline between 4% and 5%, and positive institutional direction. It interprets the price movement as a market-condition signal and institutional buying interest as a sentiment cue. The accompanying indicator formula compares volume on rising days with volume on falling days over a 20-day period, while the Python example checks price data and trade-flow data.

The screen also describes excluding certain names and companies based on market capitalization and valuation fields. These implementation details may not match the three headline conditions exactly, and the example relies on specific data sources and a fixed trade-flow date. The author cautions that simple filters can generate false positives and negatives, and suggests adding technical and fundamental measures. No historical performance results are provided, so the screen’s profitability is unestablished.

Key ideas

• The screen combines a daily price range condition, a specified decline band, and positive institutional direction.
• The proposed institutional measure compares recent volume on rising days with volume on falling days.
• The sample implementation includes additional exclusions beyond the headline screening rules.
• The document identifies false signals and changing market or institutional behavior as risks.
• It proposes adding technical and fundamental filters, but supplies no performance evidence.

Tags

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