A-Share Screening with Price, Amplitude, and Auction Buying Flow

Summary

This note presents an A-share stock screen combining daily price amplitude, a specified share price, and positive net buying by large participants during the auction. It interprets amplitude as a sign of price movement and auction buying as evidence of incoming market funds. The article includes indicator and Python examples, although its title gives a different price condition from the body, and the examples do not consistently implement the stated price rule. This inconsistency makes the intended screen unclear without further specification.

The note cautions that a single day’s buying flow does not show whether inflows persist or account for outflows, so the signal may select stocks on temporary activity. It suggests adding technical, fundamental, volume, and historical-trend information. No performance results or backtest are supplied, and the proposed conditions are not evidence of a profitable strategy. The examples also rely on market data fields and platform conventions that may require validation before use.

Key ideas

• The proposed screen combines amplitude, a price condition, and positive large-participant auction buying.
• The title and body state different price conditions, and the examples do not resolve the discrepancy.
• A one-day buying-flow measure does not establish persistent demand or account for selling.
• The note suggests supplementing the screen with technical, fundamental, and trend measures.
• No backtest or strategy performance evidence is provided.

Tags

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