Screening 2021 Chinese Stocks for Volatility and Institutional Activity

Summary

This note proposes screening Chinese equities for a daily trading range above 1%, activity during 2021, and a measure described as institutional buying. The example defines the institutional condition as a rolling 20-session measure where at least 20% of observations have nonnegative returns, then uses the result to include stocks in a candidate pool. It also provides formula and Python illustrations of the filters.

The document characterizes volatility as offering potential for larger moves and institutional participation as a possible sign of interest, while cautioning that neither interpretation is reliable on its own. It notes that institutional transactions may reflect factors other than optimism and that a single-factor screen can be incomplete. No performance testing or outcome statistics are provided. The rolling-return proxy shown in the code does not directly observe institutional purchases, so the screen's institutional interpretation depends on the validity of that proxy and its data mapping.

Key ideas

• The proposed screen combines a daily range threshold, a 2021 date restriction, and a rolling activity proxy.
• The example labels its institutional condition as participation of at least 20% based on nonnegative returns in a 20-session window.
• The document cautions that institutional trades may not signal broad market conviction.
• No backtest results are given, and the code uses a return-based proxy rather than direct institutional flow data.

Tags

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