A Chinese Stock Screen Using Intraday Flow and Auction Turnover

Summary

This proposed Chinese equity screen combines three daily filters: price amplitude above one percent, a condition described as afternoon large-order net inflow, and a top-five rank by the day’s auction amount. It then selects the stock with the highest gain from the qualifying names. The article interprets amplitude as a volatility filter, large-order flow as a measure of capital movement, and auction turnover as a proxy for investor attention.

The post offers formula references and a Python sketch, but it presents no backtest, performance statistics, or evidence that the signals predict returns. The code appears illustrative and its formulas and data calls should be checked before use; it also describes reviewing a year of data while the stated selection logic is framed around today’s conditions. The author notes that the screen omits company fundamentals and may be exposed to sentiment-driven volatility, and suggests adding valuation, market-cap, or industry filters.

Key ideas

• The screen combines daily price amplitude, afternoon large-order flow, and a top-five auction-amount rank.
• It selects the highest-gaining stock among names that pass the stated filters.
• The article provides formula references and sample code but no measured strategy results.
• The author flags volatility and missing fundamental analysis as risks and suggests additional filters.

Tags

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