Chinese Stock Screening by Capital Flow, Size, and Ten-Day Return

Summary

This Chinese equities screen selects stocks with positive returns over the past ten days, caps those gains at 35%, requires a stated size above 200 million, and ranks candidates by capital-flow strength. The post suggests that size may help address liquidity and that limiting recent gains may avoid selecting stocks after very sharp short-term rises. It describes capital strength using measures such as volume ratio or money inflow and proposes adding valuation measures for a fuller assessment.

The document provides only a screening concept and incomplete illustrative formulas; it does not define the size measure precisely or specify portfolio construction, trade timing, exits, or execution. It contains no backtest or performance results. The post notes that capital-flow indicators can be distorted, that size thresholds involve trade-offs, and that the return cap may exclude worthwhile candidates or admit excessive risk depending on market conditions. The criteria therefore form a hypothesis, not demonstrated evidence of an edge, and require careful data definitions and testing.

Key ideas

• The screen ranks stocks by capital-flow strength, using volume ratio or inflow measures.
• It requires stock size above 200 million and a positive ten-day return below 35%.
• The post links larger size to liquidity but does not define the size measure precisely.
• It proposes adding valuation measures and adjusting the return cap to market conditions.
• No backtest or performance evidence supports the screening rules.

Tags

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