A-Share Stock Screen Using Intraday Range and Auction Net Buying

Summary

This document describes a Chinese A-share stock screen that excludes Beijing-listed shares, selects stocks with an intraday high-to-low range above 1%, and requires positive net buying attributed to major investors during the opening auction. It provides example formula and Python implementations, with the latter also filtering for positive trailing earnings and book-value measures. The stated rationale is to find volatile shares that may be attracting institutional attention.

The article cautions that range and auction-flow measures alone are incomplete, and that high volatility does not by itself make a stock attractive. It suggests adding fundamental measures and building a broader view of institutional flows. The examples are references rather than validated performance evidence: no backtest, benchmark, or trading results are presented. The described filters also differ somewhat between the core rule and the code examples, so implementation details would need to be reconciled before use.

Key ideas

• The screen excludes Beijing-listed shares and requires an intraday high-to-low range above 1%.
• It uses positive opening-auction net buying attributed to major investors as a selection condition.
• The Python example adds positive earnings and book-value filters beyond the core screen.
• The article warns that volatility and a simple flow measure do not establish investment merit.
• No backtest results or performance evidence are provided.

Tags

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