Screening Chinese Stocks by Volatility, Trading-List Activity, and Institutional Flow

Summary

This stock-selection idea combines three filters: prior-day price amplitude above a threshold, appearance on the previous day’s Dragon-Tiger List, and a positive institutional-flow measure. The article presents the combination as a way to find shares with elevated activity and buying interest. It includes example formulas and Python-like pseudocode for calculating amplitude, checking list activity, estimating a rolling flow measure, and intersecting the resulting selections.

The note also identifies limitations: list membership may not reveal actual net flows, institutional activity can change for many reasons, and market reversals can undermine the screen. It suggests adding volume, valuation, moving-average, and industry context. No backtest results or risk-adjusted performance evidence are supplied, and the examples’ flow calculations are proxies rather than a validated measure of institutional positioning. The screen therefore describes candidate selection logic, not a complete trading strategy.

Key ideas

• The screen requires elevated price amplitude, prior-day Dragon-Tiger List activity, and positive institutional flow.
• Its examples combine the filters using historical price data and list records.
• The article warns that list appearance and institutional-flow measures may be incomplete or noisy.
• It proposes adding volume, valuation, trend, and industry filters, but gives no performance test.

Tags

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