Weekly A-Share Screening with Volatility, Institutional Flow, and Price Strength

Summary

This post presents a weekly China A-share selection screen combining three conditions: a five-period amplitude measure above one, a change in a proxy for institutional volume activity, and a positive weekly price and volume pattern. The last condition requires the close to exceed the prior close and its 20-period average, the average itself to rise, and volume to exceed its 20-period average. The post proposes selecting stocks after the weekly open.

It characterizes the screen as seeking volatile stocks with signs of institutional interest and price strength, while cautioning that volatility raises risk and a positive weekly bar does not establish lasting gains. It suggests adding valuation, earnings, or volume factors and assigning weights. The post includes example formulas and illustrative Python, but the code has unresolved data and indicator references, so it does not establish a validated backtest or operational implementation.

Key ideas

• The screen combines amplitude, a change in an institutional-volume proxy, and weekly price and volume strength.
• Its weekly strength condition uses a rising close relative to its prior value and 20-period average, with above-average volume.
• The post proposes selecting stocks after the weekly open.
• It warns that volatile stocks carry risk and that a positive weekly pattern cannot guarantee continued gains.
• Suggested refinements include valuation and earnings measures, but no validated performance evidence is supplied.

Tags

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