A-Share Screen Combining Volatility, Large-Order Flow, and Auction Buying

Summary

This note outlines a China A-share selection rule combining price range, large-order activity, and buying pressure during the opening auction. Its formula also requires the close to exceed a prior moving-average reference, sets a minimum intraday range relative to the previous close, ranks or filters by large-order net volume, and requires the auction’s main-force net buying measure to be nonnegative. Turnover is used for sorting. The accompanying explanation frames the signals as measures of price movement, trading activity, and capital flows.

The article offers formula and Python examples, but no backtest results or evidence of predictive performance. It warns that technical signals reflect historical data and can be unreliable in fast-changing or highly volatile markets. It also notes that the rule leaves out fundamentals and broader market conditions, recommending those as additional inputs. The example code contains implementation assumptions, so its stated conditions should be checked against the intended data and platform before use.

Key ideas

• The screen combines a price-range threshold with large-order net volume and auction buying signals.
• Its formula adds a close-above-moving-average condition and sorts candidates by turnover.
• The stated signals describe historical price and flow data rather than company fundamentals.
• The article supplies implementation examples but no performance evidence.

Tags

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