Chinese Stocks Screened for Volatility, Limit-Ups, and Institutional Buying

Summary

This document outlines a short-term Chinese stock screen combining large price ranges, at least two limit-up events over a 500-day window, and recent net buying attributed to institutions. It gives example indicator conditions for each filter and a Python sketch that loops through stock and institutional data. The proposed rationale is to find volatile stocks with a history of sharp gains and a possible institutional demand signal.

The document provides no backtest results or evidence that the screen predicts returns. Its examples also differ: the screening description specifies a 500-day history, while the Python sketch checks data availability at a much shorter minimum, and its range calculation does not directly match the stated daily amplitude condition. The author notes that the method omits fundamentals and macroeconomic conditions, and that institutional buying data may be unreliable. Basic company measures and additional indicators are suggested as possible additions, alongside personal research and risk controls.

Key ideas

• The screen combines high price amplitude, repeated limit-up events, and institutional net buying.
• The stated limit-up filter counts qualifying events across a 500-day period.
• The document offers indicator conditions and a Python example, but their implementations are not fully consistent.
• It gives no performance evidence and flags omitted fundamentals and potentially unreliable institutional data.

Tags

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