A Chinese Stock Screen Using Volatility, Ten-Day Gains, and Auction Buying

Summary

This Chinese A-share screening recipe combines three conditions: daily range relative to the open above a threshold, a positive but capped ten-day price gain, and net buying by large traders during the opening auction. The accompanying Python example also filters for a specified range of circulating market capitalization and sorts candidates by a large-order flow measure. The article presents volatility as a way to find active stocks, bounded gains as a way to avoid both weak and extended moves, and positive auction buying as a sign of buying interest.

The post gives no backtest, performance statistics, or evidence that these interpretations predict returns. It cautions that the rules rely on simple technical and trading data and says thresholds and weights need further evaluation. It suggests adding indicators and fundamental measures, considering sector rotation, and managing capital and risk. The code and prose do not fully align: the code adds a market-cap filter and ranking step that are absent from the stated core rules, so readers should distinguish those implementation details from the headline screen.

Key ideas

• The core screen requires elevated daily amplitude, a positive capped ten-day return, and positive net buying in the opening auction.
• The Python example adds circulating market-cap bounds and ranks candidates by a large-order flow measure.
• The post offers rationales for the filters but provides no backtest or evidence of predictive performance.
• It recommends checking thresholds, adding other data, and applying risk controls before relying on the screen.

Tags

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