A-Share Screening with Intraday Amplitude and Auction Order Flow
Summary
The proposed Chinese equity screen selects stocks with intraday amplitude above one percent, excludes Beijing-listed shares, and requires a threshold of combined large and extra-large buy orders during the opening auction. The post interprets the amplitude filter as a volatility criterion and auction buying as a possible sign of institutional inflows. It offers example formula and Python implementations, then ranks qualifying names by circulating market value.
The author identifies important limitations: a narrow set of signals can miss relevant information, auction order flow may not reflect sustained institutional positions, and an indicated auction price may not yield an execution. Suggested extensions include market capitalization constraints, fundamental and technical factors, broader multi-factor selection, and explicit auction pricing. No performance test or return evidence is presented, and the code is described as a reference that requires adaptation to the chosen data and strategy.
Key ideas
- The screen combines an amplitude threshold, a regional exclusion, and opening-auction buy-order flow.
- Large auction purchases are treated as a possible indicator of institutional demand, not proof of lasting positions.
- The example implementation filters candidates and ranks them by circulating market value.
- Auction prices can differ from executable outcomes, creating fill risk.
- The post recommends adding fundamental, technical, and market-level factors.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.