Screening Chinese Stocks by Range, Institutional Participation, and Returns

Summary

This document describes a Chinese equity screen combining three conditions: an amplitude above 1, institutional participation above 30% over a 15-day period, and a price change between -5% and 2.6%. The proposed rationale is to find stocks with substantial movement and institutional interest while filtering out names that have already risen sharply. It also suggests augmenting the screen with technical and fundamental measures such as momentum indicators and valuation ratios.

The document warns that short-term price movement alone may not reflect long-term investment value. It offers sample formulas and code references, but no backtest, performance evidence, or validation of the institutional participation measure. The screening criteria are therefore a starting point rather than a demonstrated strategy; implementation details and data definitions would need careful review.

Key ideas

• The screen combines amplitude, recent institutional participation, and a bounded price-change condition.
• The participation threshold is stated as more than 30% over 15 days.
• The proposed price-change band runs from -5% to 2.6%.
• The document recommends combining the screen with technical and fundamental analysis.
• It cautions that short-term price behavior may not indicate long-term value.

Tags

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