Chinese Stock Screening with Price Range, Institutional Flow, and Turnover

Summary

This Chinese equity screening rule combines three short-term filters: price amplitude above 1, positive institutional net flow, and turnover between 2% and 9%. The accompanying explanation interprets the amplitude filter as seeking volatile shares, the flow filter as identifying net institutional buying, and the turnover band as limiting selection to stocks with a chosen level of trading activity. It gives example implementations in a charting formula and Python, including a five-period sum for institutional net amount.

The article cautions that the screen omits company fundamentals and long-term prospects and may be exposed to short-term market and indicator risk. It suggests combining the signals with fundamental and longer-horizon assessment, diversifying holdings, and applying risk controls. The examples are illustrative and require adjustment to actual data and platform conventions. No historical backtest, benchmark, or performance evidence is supplied, and the screen alone does not establish that selected stocks have investment value.

Key ideas

• The screen requires price amplitude above 1, positive institutional net flow, and turnover between 2% and 9%.
• Its institutional flow example sums net amounts over five periods.
• The article frames the filters as a mix of volatility, buying activity, and liquidity conditions.
• The screen omits fundamental analysis and longer-term company prospects.
• No backtest or return evidence is provided, so the rule’s effectiveness remains untested in the document.

Tags

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