Chinese Stock Screening by Price Range, Float Size, and Institutional Buying

Summary

This note describes a Chinese equity screen combining daily price amplitude above 1, a circulating share count no greater than 5.5 billion, and a positive institutional buying indicator. It explains the intended rationale: seek actively moving shares, constrain the universe by float size, and use institutional activity as a signal of interest. The examples show how to express the conditions in a screening formula and in Python, with the Python version ranking matches by volume ratio and limiting the list to a fraction of the dataset.

The note offers no backtest, performance figures, or evidence that these criteria predict returns. It warns that the screen omits company fundamentals, that institutional activity may be misclassified or depend on poor data, and that institutional buying does not establish future direction. It suggests combining the criteria with technical and fundamental measures, checking institutional activity across multiple contexts, and applying risk controls. The stated thresholds and the proposed combination are examples rather than a validated trading system.

Key ideas

• The screen combines daily amplitude above 1 with a circulating share cap of 5.5 billion and positive institutional activity.
• The rationale is to find volatile shares while limiting float size and incorporating institutional interest.
• The Python example sorts qualifying shares by volume ratio and caps the selection count relative to the dataset.
• The note gives no evidence of profitability and identifies fundamental, signal-quality, and institutional-data risks.
• It recommends adding other indicators, fundamental analysis, and risk controls.

Tags

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