A Chinese Stock Screen for Rising Lows and Positive Auction Flow

Summary

This document proposes a Chinese stock screen using daily amplitude above a threshold, rising lows, and positive net buying attributed to major participants during the opening auction. It expands the screen with valuation limits, a positive five-year earnings condition, and exclusion of special-treatment shares. It also describes an exit rule based on price falling below a moving average or a sharp one-day decline.

The rationale is that larger movement, improving lows, and auction buying may indicate a rebound with incoming demand. The author notes that technical signals can overlook company quality and valuation, while auction flow can be noisy; fundamental checks and trend indicators are suggested as additions. No backtest or performance evidence is supplied. The article’s formula and sample code contain implementation details that should be verified against the stated rules before use.

Key ideas

• The proposed entry screen combines elevated amplitude, rising lows, and positive opening-auction net buying.
• Additional filters cover valuation, multi-year profitability, and exclusion of specially designated shares.
• The described exits use a moving-average break or a large one-day loss.
• The author flags noisy auction-flow signals and the omission of broader company fundamentals.
• The document gives no backtest results, and its example implementation should be checked against the written conditions.

Tags

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