A-Share Screening with Intraday Auction Volume and Order-Flow Filters

Summary

This short-term stock selection method combines three conditions: price amplitude above 1, yesterday’s turnover multiplied by today’s opening-auction volume divided by yesterday’s volume between 0.5 and 2, and an outside-to-inside volume ratio above 1.3. The idea is to use recent price movement, trading activity, and an order-flow proxy together to identify candidates. The article also mentions adding valuation measures, company information, and technical factors as possible extensions.

The post gives a qualitative rationale but provides no backtest, performance figures, or evidence that the filters predict returns. Its Python example does not fully implement the stated amplitude and auction-volume conditions, so it should not be treated as a faithful executable specification. The author cautions that the approach is intended for short-term use and that the outside-to-inside ratio can be affected by news and may be unstable. The selection rules and their thresholds would need independent testing before practical use.

Key ideas

• The screen combines price amplitude, turnover and auction-volume activity, and an outside-to-inside volume ratio.
• The stated turnover-volume product must fall between 0.5 and 2, while the outside-to-inside ratio must exceed 1.3.
• The article proposes adding valuation, company-news, or technical factors for a broader assessment.
• The post supplies no performance evidence, and its code example does not capture every stated condition.
• Order-flow ratios can be unstable and sensitive to market news.

Tags

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