A-Share Screening with Range, Turnover, and Auction Net Buying

Summary

This note describes an A-share stock screen that requires daily price amplitude above 1%, turnover between 2% and 9%, and positive net buying attributed to major participants during the opening auction. It presents these conditions as a way to combine price movement and trading activity with an indication of institutional demand.

The document identifies possible misclassification in the auction net-buying measure and says the screen may return few stocks during low-liquidity or range-bound markets. It suggests adding volume, money-flow, or fundamental checks, refining the auction flow measure, and adjusting thresholds. It supplies indicator formulas and a Python example, but gives no performance results or evidence that the conditions predict returns. The example also adds moving-average and data-provider filters beyond the stated core screen, so its implementation is not a direct validation of the selection logic.

Key ideas

• The core screen combines price amplitude above 1%, turnover between 2% and 9%, and positive opening-auction net buying.
• The author interprets amplitude and turnover as measures of price behavior and market participation.
• Auction net buying may be misclassified, and the screen may produce few candidates in illiquid or sideways markets.
• The note proposes adding other technical or fundamental checks and refining the order-flow condition.
• No backtest results are presented, and the sample Python implementation includes additional filters.

Tags

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