Chinese Stock Screening with Amplitude and Institutional-Flow Signals

Summary

This stock screen combines four conditions: amplitude above a stated threshold, a change in an institutional trading-volume measure, a negative price change relative to the previous close during the auction-related condition, and large aggregate buy volume above a stated threshold. The article presents the combination as a way to identify stocks with notable volatility and institutional buying activity, and includes formula references plus illustrative Python code using market-data functions.

The article cautions that institutional and large-order activity alone does not establish a stock's value. It notes that the screen omits company fundamentals and valuation, and suggests adding measures such as price-to-earnings and price-to-book ratios. The code is explicitly presented as a reference requiring adaptation; its data sources, field definitions, and condition alignment are not validated in the text, and no backtest or performance evidence is supplied.

Key ideas

• The screen combines amplitude, institutional-volume change, auction-related price movement, and large-order buying conditions.
• The stated rationale is to find volatile stocks with signs of institutional buying interest.
• The article warns that order flow does not establish company value and omits fundamental and valuation measures.
• The Python example is illustrative and may need modification; the document provides no performance validation.

Tags

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