Filtering Chinese Stocks by Amplitude, Float Value, and Institutional Flow

Summary

The post proposes a Chinese equity screen combining daily price amplitude above 1, circulating market value above 10 billion yuan, and a positive institutional-flow measure. It interprets these filters as selecting active stocks with larger listed floats and favorable institutional sentiment. It also suggests adding profitability and financial-condition measures to reduce reliance on sentiment and broaden the assessment.

The evidence is a description of the screen and example formula and Python snippets, not a backtest or performance study. The implementation details do not fully match the stated rules: the Python example filters for recent price direction and money-flow data, while it does not clearly implement the stated amplitude and market-value thresholds. The post also offers no defined evaluation period, benchmark, transaction-cost model, or risk-adjusted results. The strategy is therefore a screening idea rather than demonstrated evidence of predictive performance.

Key ideas

• The proposed screen requires amplitude above 1, circulating market value above 10 billion yuan, and positive institutional flow.
• The post associates amplitude with trading activity and institutional flow with sentiment.
• It recommends incorporating profitability and financial condition alongside the original filters.
• The code examples do not consistently implement the full screen described in the text.
• No backtest or performance evidence is provided.

Tags

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