Chinese Stock Screening by Amplitude, Turnover, and Institutional Flow

Summary

This Chinese stock screening proposal combines price movement, trading activity, and an institutional-flow measure. Its stated final criteria select shares with amplitude above 1, previous-day actual turnover between 3% and 28%, and institutional direction above 5%. The post also includes example indicator and Python snippets intended to illustrate the filters and ranking by turnover.

The article frames active trading and positive institutional flow as potentially favorable, but offers no backtest, holdings, return series, or comparison against a benchmark. The definitions and implementation are unclear: the discussion shifts from an initial institutional-flow threshold above zero to above 5%, and the sample expressions may not faithfully represent the named turnover and flow measures. It acknowledges that the simple institutional signal can be inaccurate and that the filters may miss speculative opportunities. It suggests adding price-volume, fundamental, and moving-average measures, but does not test those changes.

Key ideas

• The proposed screen combines amplitude, previous-day turnover, and institutional-flow criteria.
• The final rule specifies amplitude above 1, turnover from 3% to 28%, and institutional direction above 5%.
• The post offers example screening expressions but does not validate their calculations.
• It warns that parameter choices and a simple institutional-flow measure can produce inaccurate selections.
• No backtest or performance evidence is presented.

Tags

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