A-Share Opening Auction Screen Using Price Moves and Large Orders

Summary

This A-share screen looks for stocks with an amplitude above 1, a qualifying opening-auction price move, substantial buy orders from very large trades, and a 9:25 gain below 6%. The stated logic is to combine price fluctuation and order activity with a limit on the early-session rise. The document includes a formula reference and sample code, though the formula applies an absolute-value test to the large-order measure and the written description frames it as buying volume; that distinction affects what the screen selects.

The article offers no historical results or evidence that the filters predict returns. It warns that a single auction-time price observation can be affected by broad market conditions and flows, and that technical-only selection can omit fundamental information. It recommends examining other trading periods, adding fundamental factors, and testing with historical data. The code and formula also use different data fields and comparisons, so implementation details should be checked before treating them as equivalent versions of the strategy.

Key ideas

• The screen combines amplitude, an opening-auction move, large-order activity, and a 9:25 gain cap.
• The written description focuses on large buy volume, while the formula uses an absolute-value test.
• A single auction-time price observation may be sensitive to market conditions and capital flows.
• The document recommends examining other time windows, adding fundamentals, and backtesting.
• No performance results are provided, and the formula and code should be reconciled before implementation.

Tags

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