Chinese Stock Screening with Rising Lows, Fund Flows, and Valuation Filters
Summary
The article proposes a Chinese equity screen combining amplitude above a threshold, a rising bottom, and positive institutional flow. It then expands the screen with a 20-day moving average above the 250-day average, valuation ceilings for price-to-earnings and price-to-book ratios, positive five-year profitability, and exclusions for specially treated stocks. Its suggested exits use a 30-day moving average or a price decline threshold. Formula and Python examples illustrate how some of these conditions might be represented.
The author characterizes the method as a blend of technical and fundamental filters, while acknowledging that institutional-flow indicators alone do not establish investor conviction and that company quality still needs assessment. Additional indicators and capital-flow measures are suggested for refinement. The document provides no backtest results, benchmark comparison, or evidence that the screen predicts returns. Some implementation details in the sample expressions are not fully explained, so the examples should not be taken as a validated executable specification.
Key ideas
- The initial screen combines stock amplitude, rising lows, and positive institutional-flow readings.
- The expanded rules add moving-average trend, valuation, profitability, and stock-status filters.
- Suggested exits trigger below a 30-day average or after a sufficiently large decline.
- The article recommends combining institutional-flow readings with other indicators and company data.
- No backtest or return evidence is provided for the proposed screen.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.