Screening Equities for Volatility, Institutional Buying, and Recent Gains

Summary

This post outlines a Chinese equity screen that combines an amplitude threshold, a proxy for institutional buying, and a recent large daily gain. The intended logic is to find volatile stocks attracting institutional interest that have also shown a strong upward move within a recent trading window. It suggests running the screen after the market opens and proposes adding valuation, earnings, or volume measures for a broader assessment.

The post gives indicator expressions and a sample Python sketch, but no backtest, return series, or evidence that the signals identify persistent opportunities. It acknowledges that the institutional-buying measure and its data source need validation, and that results may be subjective and sensitive to market conditions. The example code has apparent data and variable inconsistencies, so it should not be assumed to run as written. The screen is best understood as a rough candidate-selection concept, with thresholds, signal definitions, data alignment, and out-of-sample behavior requiring independent testing.

Key ideas

• The proposed screen combines price amplitude, an institutional-flow proxy, and a recent large gain.
• The authors interpret these conditions as signs of volatility, buying interest, and short-term momentum.
• Additional valuation, earnings, and volume data are suggested as possible filters.
• The post provides example formulas and code but no evidence of predictive performance.
• The institutional-flow proxy, data source, timing, and sample code require validation.

Tags

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