Screening Chinese Stocks by Amplitude, Control, and Money Flow

Summary

This note describes a Chinese equity screen combining daily price amplitude above 1, a controlling-shareholder measure above 21%, and a high ranking for large-order net money flow. It explains that amplitude and control are intended to identify active, volatile stocks, while money flow is used as a proxy for large investors’ activity. The suggested refinement extends the money-flow ranking across roughly three months and adds technical indicators and fundamental review.

The document provides example screening logic and implementation sketches, but no backtest results or evidence that the filters predict returns. It flags reliance on short-term flows, narrow indicator coverage, and the inability of an initial inflow signal to capture later market changes. The stated threshold and code details are not fully consistent: one example uses an absolute shareholder-change measure, while the prose describes a control threshold. The screen should therefore be treated as an outline requiring verification and broader evaluation.

Key ideas

• The screen combines price amplitude, a controlling-shareholder measure, and large-order net money-flow ranking.
• It proposes using a longer money-flow observation window to reduce reliance on a single short-term reading.
• The note recommends adding technical indicators and fundamental analysis to broaden the selection process.
• It identifies short-term flow bias and incomplete coverage of company and market conditions as risks.
• The document gives implementation examples but reports no performance testing.

Tags

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