Combining Price Amplitude, Institutional Participation, and Top-of-Book Imbalance

Summary

This proposed Chinese stock screen combines three conditions: price amplitude above 1%, institutional participation above 25% over 15 days, and best bid volume greater than best ask volume. The document interprets these as elevated price movement, institutional interest, and stronger near-term buying pressure. It includes example formula and Python snippets and mentions ranking selected stocks by a heat measure, but does not provide a backtest, sample selections, or evidence that the signals predict returns.

The author describes the approach as risky, noting that technical signals can miss important factors and may select false bullish or bearish setups. Suggested improvements include broader medium- and long-term technical measures, fundamentals, macroeconomic data, risk controls, and diversification. The stated conditions are therefore a short-term candidate filter; the document does not define institutional participation precisely beyond its threshold or explain how to validate the combined signals.

Key ideas

• The screen requires amplitude above 1%, institutional participation above 25% over 15 days, and best bid volume greater than best ask volume.
• The proposed rationale combines price movement, institutional activity, and top-of-book buying pressure.
• The document warns that the conditions may produce false signals and omit broader market and company information.
• It recommends adding longer-term indicators, fundamentals, macro data, risk controls, and diversification.
• No backtest or return evidence is provided.

Tags

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