Screening Shanghai-Listed Stocks by Amplitude and Institutional Flows

Summary

This stock screen selects Chinese equities whose codes begin with 60, whose intraday high-low range relative to the open exceeds 1, and whose institutional-fund flow measure is positive. The accompanying formula aggregates positive net fund amounts over five periods before applying the flow condition; the Python example instead sums reported net amounts by stock. Selected names may be sorted by turnover. The article characterizes the screen as targeting stocks with potential while acknowledging that such shares can carry volatility, earnings variability, and weaker liquidity.

The post suggests adding fundamental filters such as profit growth, conducting further research, and controlling position size and capital risk. It supplies formula and Python examples, but no backtest, return data, or evidence that the criteria predict gains. The examples also depend on specific data fields and providers, so their calculations may need adjustment to match current data definitions. The selection rules describe a screening process, not a complete portfolio construction or exit strategy.

Key ideas

• The screen requires a stock code beginning with 60, relative amplitude above 1, and positive institutional-flow data.
• The formula aggregates positive net fund amounts over a five-period window.
• The Python example ranks qualifying stocks by turnover.
• The article flags volatility, earnings variation, and liquidity as risks of the selected stocks.
• It recommends additional fundamental analysis and tight control of position size and capital risk.

Tags

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