A-Share Screening by Auction Value, Fund Flow, and Rising 30-Day Average
Summary
This note presents an A-share stock screen that ranks names by capital strength, keeps the five with the largest auction value for the day, and requires the 30-day moving average to be rising. It interprets fund flow and auction activity as signs of attention or buying interest, while the moving average is used as a trend filter. The article also suggests assessing company fundamentals and industry prospects alongside these signals.
The document gives a conceptual rationale and an incomplete Python example using price data; it does not report backtest results or performance evidence. Its main limitation is that short-term fund-flow and price trends can be volatile, while the screen omits fundamental and sector context unless added separately. The example code is truncated, so implementation details for auction value and capital-strength ranking are not fully specified.
Key ideas
- The screen ranks stocks by capital strength and retains the top five by that day's auction value.
- A rising 30-day moving average serves as a trend filter.
- The article treats fund flow and auction activity as possible indicators of buying interest, not guarantees of gains.
- Fundamentals and industry prospects can be added to broaden the assessment.
- No backtest or performance evidence is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.