A-Share Screen Combining Reversal Patterns and Auction Buying Flow

Summary

The proposed stock screen combines three signals: daily amplitude above one percent, a reversal or engulfing-style pattern appearing within the recent three-session window, and pre-open auction buying volume from large and very large orders above seven million shares. The document provides indicator and Python examples intended to combine price movement, a candlestick pattern, and order-flow information. It describes these conditions as a way to find volatile stocks with a possible short-term reversal and institutional buying interest.

The document gives no backtest, return figures, or evidence that these signals predict gains. It warns that auction data may be imprecise or stale, that order flow alone can be misleading, and that fundamental factors are omitted. The examples also leave important operational details unclear, including how the stated reversal condition maps to the named candlestick calculation and whether auction volume is consistently available. The screen is therefore a hypothesis requiring careful data validation and testing.

Key ideas

• The screen combines amplitude above one percent, a recent reversal pattern, and large-order auction buying volume above seven million shares.
• It uses price-pattern and order-flow data to seek short-term reversal candidates.
• The document provides implementation examples but no performance evidence.
• Auction-data quality, signal interpretation, and omitted fundamentals limit the screen’s reliability.

Tags

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