Chinese Stock Screening by Range, Prior Limit Status, and Volume Flow

Summary

This note describes a Chinese equity screen that seeks stocks with a daily trading range above 1, no prior-day limit-up, and a current-day increase in buying activity above 5%. It frames the activity filter as a way to find stocks attracting institutional interest. The document also gives a volume-growth formula and a sample implementation using market data, along with suggestions to add technical and fundamental filters and exclude special-treatment or suspended shares.

The screen is a heuristic rather than a fully specified or validated strategy. The text does not provide backtest results, define the range calculation in detail, or establish that the activity measure reliably identifies institutional buying. The sample code also appears to use net money-flow volume for its increase calculation, which differs from the stated definition based on total trading volume. Its exchange-specific exclusions and limit thresholds may also need adjustment. The note warns that speculative flows and unusual price movements can weaken the signal and that ignoring other market and company information can lead to poor selections.

Key ideas

• The proposed screen combines a range threshold, prior-day limit-up status, and an increase in current-day buying activity.
• The note presents increased activity as a possible sign of institutional interest, not as proof of it.
• It suggests combining the screen with technical and fundamental filters and excluding suspended or special-treatment shares.
• The sample implementation’s net money-flow calculation does not match the stated total-volume growth formula.

Tags

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