A-Share Screening with Intraday Large-Order Buying and Short-Term Momentum

Summary

This note describes a Chinese A-share screen combining daily price movement with order-flow data near the market open. It selects stocks with an amplitude above 1%, a positive but bounded 10-day return, and aggregate large and extra-large buy volume during the auction period above the stated threshold. The rationale is to pair recent strength with evidence of buying interest and trading activity.

The document provides an indicator formula and a Python example using daily prices and tick trades. It also flags material limits: the screen omits fundamentals and long-term value, opening activity may not translate into liquidity for later exits, and large buyers may subsequently reduce positions. Suggested refinements include fundamental, market-capitalization, listing-status, and technical filters. The examples are implementation references, not performance evidence; no backtest results or proof of predictive advantage are supplied.

Key ideas

• The screen combines recent price movement with large-order buying around the open.
• It uses amplitude, a bounded 10-day return, and a threshold for aggregate large and extra-large buy volume.
• The document offers indicator and Python examples but reports no performance testing.
• Opening liquidity and subsequent selling by large traders can undermine the signal.
• Fundamental and additional technical filters are proposed as possible refinements.

Tags

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