A-Share Stock Screen Using Amplitude and Auction Net Buying

Summary

The document describes an A-share stock selection rule combining three conditions: daily amplitude above 1, no limit-up close on the prior day, and positive net purchases attributed to major investors during the current opening auction. It treats positive auction net buying as a sign of capital inflow and proposes the combined conditions as a buy signal. It also presents an indicator expression and a Python example that attempts to retrieve market data and apply filters.

The article gives no backtest, sample definition, or performance results, so it does not establish whether the signal predicts returns. Its example code’s filters do not clearly match every stated condition, and the displayed data fields and timing would need validation before use. The author notes that the screen omits company fundamentals and may select low-quality firms; short-term price fluctuations can also produce false signals. Holding periods, entry rules, exits, and risk limits are left to the user.

Key ideas

• The screen requires amplitude above 1, no prior-day limit-up, and positive auction net buying.
• Positive opening-auction net buying is interpreted as evidence of capital inflow.
• The article provides an indicator expression and a Python data-screening example.
• No backtest or performance evidence is reported.
• The rule omits fundamentals and may be vulnerable to short-term noise.

Tags

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