A-Share Screen Using Volatility, Recent Limit-Ups, and Auction Buying

Summary

The document proposes an A-share stock screen combining daily range, recent limit-up behavior, and buying activity attributed to large orders during the opening auction. A candidate must have a daily high-low range above 1%, at least one limit-up day in the prior 25 sessions, and stated large plus extra-large auction buying above 7 million. It frames range and limit-up activity as signs of potential movement and stronger market attention, while the order-flow condition is intended to indicate buying interest.

The note supplies example conditions in a platform formula and Python, but the Python proxy estimates buying activity from daily volume and price movement rather than demonstrating access to actual auction order data. No backtest results or predictive evidence are reported. The author cautions that past signals may not predict future returns, limit-ups can reflect speculation, and order-flow amounts should be assessed relative to tradable market capitalization; additional financial and technical filters are suggested.

Key ideas

• The screen combines a range threshold, a limit-up occurrence in the previous 25 sessions, and an auction buying-volume threshold.
• The stated interpretation is that range and limit-up activity may reflect volatility and market interest.
• Large-order buying is treated as a possible inflow signal, but its size should be compared with tradable market capitalization.
• The example Python logic estimates buying activity from daily data and does not establish an auction-specific measurement.
• The document gives no backtest results and warns that historical conditions may not predict future performance.

Tags

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