Screening Chinese Stocks by Amplitude, Institutional Participation, and Share Count

Summary

The post proposes a daily, after-close stock screen combining three filters: five-period amplitude above 1, institutional participation above 30, and total shares above 200 million. It presents the combination as a way to find stocks with notable price movement, institutional buying interest, and larger share counts. The post offers formula references and a sample Python outline, but provides no backtest, selected-stock examples, or performance evidence.

The author cautions that the screen omits macroeconomic and policy risks and simplifies analysis of company fundamentals and industry conditions. It may overlook revenue quality and profitability, among other factors. The post suggests comparing the screen with value or trend approaches and combining it with a multifactor model. The thresholds and measures are described without enough detail to establish their predictive value, and the screen is presented as a starting point rather than a complete investment process.

Key ideas

• The proposed screen combines five-period amplitude, institutional participation, and total share count thresholds.
• Stocks are selected after the daily close when all three conditions are met.
• The post does not report a backtest or evidence of returns from the screen.
• The author warns that the rules omit broader risks and detailed company and industry analysis.
• The post recommends evaluating the screen alongside other factors and approaches.

Tags

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