Screening Chinese Stocks by Volatility, Institutional Flows, and Float Size

Summary

This stock-selection screen combines three conditions: daily amplitude greater than one, positive institutional flow, and a circulating share count no higher than 5.5 billion. The article gives example implementations in indicator-formula and Python styles. Its rationale is that the combination may identify shares with notable price movement, positive large-investor flows, and a relatively small public float; it does not provide evidence that these traits predict returns.

Key ideas

• The screen requires amplitude above one, positive institutional flow, and circulating shares at or below 5.5 billion.
• The example flow calculation sums positive net institutional amounts over five periods.
• The author suggests adding fundamental and market-style factors to assess candidates more broadly.
• The article warns that results may be volatile and uncertain, and that float size varies by industry and market phase.
• No backtest or performance statistics are supplied, and the sample code is presented as something to adapt to available data.

Tags

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