Stock Screening with Volatility, Institutional Flows, and 10-Day Returns

Summary

This post describes a stock screen combining daily price amplitude above 1, positive institutional money flow, and a 10-day return greater than zero but below 35%. Its example indicator logic aggregates positive net institutional flow across five periods, then intersects that condition with the amplitude and return filters. The post also sketches implementations using a Chinese market data package and suggests sorting qualifying stocks by turnover ratio.

The rationale is that larger price movement may indicate activity, positive institutional flow may signal demand, and a bounded recent gain may capture stocks with continuing potential. These explanations are hypotheses rather than demonstrated findings: the post provides no performance results or validation. It warns that the selected stocks may be volatile and that short-term gains do not establish business quality. It recommends tighter fundamental criteria, broader market context, and controls on capital exposure; its example code is explicitly illustrative and may need adjustment.

Key ideas

• The screen combines amplitude above 1, positive institutional net flows, and a positive 10-day return below 35%.
• The example sums positive net flow over five periods before combining it with the price filters.
• The post supplies illustrative indicator and data-package examples but no backtest or performance evidence.
• It flags volatility and the weakness of treating short-term price gains as evidence of company quality.
• It recommends stronger fundamental checks, broader context, and exposure controls.

Tags

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