Screening Shanghai Stocks by Range and Institutional Flow Change

Summary

This note proposes screening stocks whose codes begin with 60, whose five-period range indicator exceeds 1, and whose institutional flow measure differs from the prior day's value. It describes this difference as an institutional buying signal and says the screen is run after the market opens. Formula snippets specify the three conditions, while a Python illustration attempts to derive the flow values from turnover and volume data.

The explanation associates the range condition with volatility and treats the flow change as evidence of institutional interest, but it gives no validation for that interpretation. The Python example mixes platform-specific expressions with sample data for a single stock, so it does not establish a working market-wide implementation. The note acknowledges the simplicity of the rules and advises adding other filters or alternative data. No backtest, outcome statistics, or risk controls are supplied.

Key ideas

• The proposed screen combines a range indicator above 1 with a change in an institutional flow measure.
• It limits candidates to stocks whose codes start with 60 and runs the screen after the open.
• The note presents institutional flow change as a buying clue but does not validate that interpretation.
• The sample implementation is illustrative and does not show a complete market-wide data process.
• No performance evidence or explicit risk management is provided.

Tags

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