A-Share Screening with Auction Order Flow and Moving-Average Trend
Summary
This A-share stock screen combines daily price range, pre-open trading activity, large-order buying, and a moving-average trend filter. It selects stocks with an amplitude above 1, a specified change in auction-period trading activity, large-order purchases above the stated threshold, and a 20-day moving average above the 120-day average. The article explains the longer average comparison as a way to favor stocks with a positive prevailing trend.
The document outlines formula and Python examples, but provides no backtest results or evidence that the filters improve returns. It also describes the approach inconsistently: the rule is framed as auction-period price change and large-order buying, while the example formula uses ratios of bid and ask volume. The article cautions that historical patterns may overfit, that broad market and company conditions are not fully captured, and that order flow can affect which stocks pass the screen. It suggests adding fundamental measures, adapting filters to market conditions, and diversifying positions.
Key ideas
- The screen combines price amplitude, auction-period activity, large-order buying, and a moving-average filter.
- It requires the 20-day average to exceed the 120-day average.
- The article discusses adding valuation and company financial measures.
- It recommends adapting selection rules to market conditions and diversifying holdings.
- No backtest or return evidence is reported, and the examples do not perfectly match the written description.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.