Chinese Stock Screening with Price Range, Three Limit-Up Days, and Institutional Buying

Summary

This note describes a Chinese equity screen combining a daily price range greater than one, a three-day limit-up pattern on the prior day, and an indicator intended to identify institutional buying. It explains the intended rationale: a large range may signal activity, repeated limit-ups may indicate attention, and institutional buying may suggest demand. The note also sketches a technical implementation using moving averages and price lows, alongside a Python example based on daily futures data.

The author recommends adding company financials, relative valuation, industry trends, and sector rotation to the screen, and treating institutional-flow data as a supporting signal because its source and reliability may be uncertain. The examples are implementation references rather than tested evidence: no backtest results or performance statistics are supplied. The displayed formulas and code also do not clearly establish that they measure the stated three limit-up days or institutional buying consistently, so the screen's definitions and data handling need validation before use.

Key ideas

• The proposed screen combines a price-range threshold, a prior three-day limit-up pattern, and an institutional-buying signal.
• The note treats volatility and repeated limit-ups as signs of market activity and attention.
• Institutional-flow data may be unreliable and should be validated before it drives selections.
• The author suggests adding financial, valuation, industry, and sector-rotation measures.
• The code examples provide no backtest evidence and may not implement every stated condition consistently.

Tags

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