Stock Screening with Amplitude, Control Change, and Institutional Holdings

Summary

This post proposes a Chinese-equity screening rule combining daily price amplitude, a measure described as daily control change, and evidence of institutional ownership or accumulation. Its revised selection logic asks for amplitude above one, control change above 21, and high institutional attention. The post also sketches implementations in a local screening language and Python, including ranking selected names by recent price change.

The article gives no backtest results or evidence that the indicators predict returns. It flags several practical concerns: suspended stocks may be untradeable, institutional signals may miss adverse news, and multiple selection criteria can overfit historical data. Suggested safeguards include checking additional valuation or fundamental data, validating the rule, reducing reliance on the institutional measure, adapting conditions to market regimes, and diversifying. Indicator definitions and units are not fully explained, so the thresholds and code-like examples require verification before use.

Key ideas

• The screen combines price amplitude, a daily control-change measure, and institutional ownership or attention.
• The post offers example implementations and ranks qualifying stocks by recent price movement.
• Suspensions, overlooked negative information, and overfitting are identified as risks.
• The post recommends validation, supplementary data, parameter review, and diversification.
• No performance evidence is supplied, and indicator units and definitions need clarification.

Tags

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