Small-Cap Stock Screen Using Volatility, Institutional Flows, and Profitability

Summary

This Chinese equity screen combines daily amplitude above 1, positive institutional fund flow, market capitalization below 10 billion yuan, and positive profitability measures over three years. The note interprets amplitude as a volatility filter, positive flows as a sign of institutional interest, and the size and profitability filters as ways to identify smaller companies with earnings history. It includes example indicator logic and a Python outline for implementing the conditions.

The document reports no backtest or return evidence, so its claims about company quality and institutional attention are not validated. It warns that the criteria are simple and omit financial and market risks, and suggests adding measures such as earnings growth or goodwill exposure. The examples are presented as adjustable templates; the stated thresholds and data inputs may require review for a particular dataset or market context.

Key ideas

• The screen combines amplitude, institutional net flows, market capitalization, and three years of positive profitability.
• The examples aggregate fund flows over five periods and use ROE-related inputs to represent historical profitability.
• The article gives no evidence that the combined conditions produce positive returns.
• It notes omitted financial and market risks and recommends adding further financial analysis.

Tags

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