Screening Chinese Stocks by Amplitude and Institutional Fund Flows

Summary

This post describes a Chinese stock screen that selects shares with price amplitude above 1 and positive institutional fund flow, while excluding Beijing-listed A shares. The accompanying indicator example defines fund direction by summing net institutional amounts over five periods, then requiring a positive result. The stated rationale is to combine market activity with a measure of institutional buying and to remove a geographic subset.

The post includes sample formula and Python logic, but it provides no backtest, performance data, or evidence that these filters predict returns. Its code uses dated fund holdings data and includes implementation details that may not align cleanly across data sources. The author acknowledges that the screen omits company finances and industry competitiveness, and suggests adding measures of company performance and market position. It is therefore a basic screening recipe whose data definitions and results would need independent validation.

Key ideas

• The screen requires price amplitude above 1 and positive institutional net fund flow.
• The example measures fund direction by summing net amounts across five periods.
• It excludes stocks listed in Beijing.
• The post gives code examples but no performance evaluation or evidence of predictive value.
• It identifies company finances and industry position as missing factors.

Tags

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