Screening Chinese Stocks by Amplitude, Turnover, and Institutional Flows

Summary

This post outlines a Chinese equity screening rule that selects stocks with daily price amplitude above 1%, turnover between 2% and 9%, and positive institutional activity. It presents the screen as a way to combine price movement, trading activity, and an estimate of institutional money flow. The post also gives example indicator and Python implementations, though the code’s data fields and calculations may not map cleanly to the stated criteria.

The author cautions that this technical screen can omit fundamentals and policy influences, and that institutional-flow data may lag or contain noise. Suggested extensions include adding market trend measures, further technical indicators, and fundamental or policy variables, alongside risk controls. No performance results or validation are provided, so the rule should be treated as a proposed filter rather than an established profitable strategy.

Key ideas

• The screen combines price amplitude, a bounded turnover range, and positive institutional flow.
• The post gives example implementations for applying the selection criteria to Chinese stocks.
• The author notes that institutional-flow data may be delayed and noisy.
• The screen may omit fundamental and policy drivers, and no performance evaluation is reported.
• Suggested refinements include market-trend checks, additional indicators, and risk controls.

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