A Chinese Stock Screen Combining Intraday Range, Order Flow, and Auction Price
Summary
This Chinese-language post proposes screening mainland Chinese stocks using three conditions: daily high-low amplitude above one percent of the previous close, a positive large-order net-volume measure, and a negative change in the prior day’s 9:15 matching price. It also describes sorting candidates by five-minute auction trading amount and retaining a small top-ranked group. The intended screen combines price movement, order-flow information, and an early indication of selling pressure to identify active stocks with downside characteristics.
The post warns that the screen omits company fundamentals and industry conditions, and that selected shares may fall further during broader market stress. It suggests adding technical, flow, and fundamental measures, but offers no backtest results or evidence that these additions improve accuracy. The accompanying example code uses data-provider-specific functions and fixed sample dates, and some implementation details do not line up cleanly with the written ranking description. Treat the rules as a sketch requiring data and logic validation, not as demonstrated investment performance.
Key ideas
- The screen combines a daily amplitude threshold, large-order net flow, and a negative prior-day opening-auction match-price change.
- It proposes ranking candidates by auction trading amount and selecting a limited group.
- The author identifies missing fundamental and industry analysis as a risk.
- No backtest evidence is provided, and the sample implementation requires validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.