Chinese Stock Screening by Price Range, Limit-Ups, and Institutional Flows

Summary

This Chinese equity screening rule selects stocks with daily amplitude above 1%, at least two limit-up events in the prior 500 days, and a positive institutional-flow indicator. It combines a volatility filter, a historical price-momentum signal, and a measure of institutional activity. The document gives formula-style criteria and a Python example, but the example uses daily tick data and calculations that do not clearly match the stated 500-day test.

The accompanying discussion says the screen may identify active, closely watched stocks, but it does not provide backtest results or evidence of profitability. It also warns that the rule omits company fundamentals and may expose investors to sharp market moves and losses. Suggested refinements include adding business and growth quality checks, studying transaction costs, and applying risk controls and periodic review.

Key ideas

• The screen requires amplitude above 1%, at least two limit-up events over 500 days, and positive institutional flow.
• It combines price volatility, past limit-up behavior, and a capital-flow measure.
• The document reports no performance evidence and does not establish that the conditions predict returns.
• Fundamental analysis, transaction costs, and risk controls are cited as areas needing further attention.

Tags

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