Selecting Chinese Stocks by 2021 Returns, Volatility, and Institutional Flows

Summary

This note describes a Chinese equity screen that combines strong performance during 2021 with high daily price range and positive institutional net flows. Its final rule selects stocks in the top 30% by 2021 gains, with amplitude above 1 and positive institutional flow. The examples calculate price range relative to opening price and sum positive net fund amounts over five sessions. A Python example also shows ranking 2021 closing prices and combining results with current-day data.

The note identifies changing fundamentals, institutional outflows, and shifts in market sentiment as risks. It suggests adding technical or fundamental measures such as valuation and profitability, and controlling position size and capital risk. It provides no backtest, performance statistics, or clear operational definition for the amplitude threshold. The sample implementations use different data sources and time frames, so they should not be assumed to reproduce the stated screen exactly; the author also advises adapting the examples to the available data.

Key ideas

• The proposed screen requires top-quartile-like performance, specifically a top-30% return rank for 2021.
• It also requires amplitude above 1 and positive institutional net flow.
• The example sums positive net fund amounts over five sessions.
• The note flags deteriorating fundamentals, fund withdrawals, and sentiment shifts as risks.
• It recommends further research and position and capital risk controls.

Tags

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