A-Share Screening with Daily Range and Auction Net Buying

Summary

This note describes a simple A-share stock screen using three conditions: daily price amplitude above 1%, the year 2021, and positive net buying attributed to major investors during the auction. It frames high amplitude as a sign of volatility and auction buying as a possible indication of investor interest. The article includes example indicator and Python snippets for applying the conditions and forming a candidate pool.

The note provides no backtest, performance figures, or evidence that the screen predicts returns. It cautions that auction flows can be affected by other factors and that the screen omits company fundamentals and industry prospects. The examples also differ in how they calculate amplitude and net buying, so their implementation does not consistently match the stated rules. Treat the screen as an illustrative filter requiring data validation and further testing, rather than as a demonstrated strategy.

Key ideas

• The proposed screen combines daily amplitude above 1%, the 2021 calendar year, and positive auction net buying.
• The article interprets amplitude as a volatility measure and auction buying as a possible sign of demand.
• Its example implementations use differing formulas, so the stated conditions need to be reconciled before use.
• The screen omits fundamental and industry analysis, and the article provides no performance evidence.

Tags

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