A-Share Screening with Range, Relative Volume, and Auction Flow

Summary

This document proposes a Chinese equity selection rule using price range, relative volume, and activity attributed to large orders during the auction. It specifies a range above 1, a volume ratio between 1.5 and 6, and a stated threshold for combined large and extra-large order buying. The explanation treats range and relative volume as signs of trading activity, while auction flow is presented as a possible indication of capital interest.

The post warns that unusual order-flow conditions and market expectations can make selections unreliable, and recommends combining the screen with technical and fundamental analysis and risk controls. It includes formula and Python examples, but the code appears inconsistent with the prose: it applies price-change filters that are not clearly equivalent to the auction-flow rule and uses differing volume thresholds and calculations. No backtest or measured evidence supports the claimed stability or usefulness, so the criteria should be treated as an unvalidated screening idea.

Key ideas

• The proposed screen combines price range, a bounded relative-volume measure, and auction-related large-order activity.
• The stated relative-volume range is 1.5 to 6.
• The author recommends adding other analysis and risk controls because order flow and expectations can be misleading.
• The examples do not consistently match the prose, and no 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.