A-Share Stock Screen Using Intraday Range, Large-Order Flow, and Auction Turnover

Summary

The document proposes screening Chinese A-share stocks for a daily high-low range greater than one percent of the prior close, positive large-order net volume, and ranking by the day’s auction turnover to select the top five. It frames these conditions as a way to combine price movement, order-flow activity, and market attention. Formula and Python examples sketch how to apply the filters and sort candidates, though the code includes an unspecified data function and does not establish a complete, reproducible implementation.

The author cautions that a heat-focused screen can overlook company fundamentals and industry conditions, and selected stocks can still fall in broad market stress. The suggested refinement is to evaluate fundamentals, sector context, and overall market conditions alongside the screening signals. No backtest, returns, benchmark, or execution analysis is provided, so the proposed ranking should be treated as a candidate-generation heuristic rather than evidence of an effective strategy.

Key ideas

• The screen requires a daily high-low range greater than one percent of the prior close.
• It filters for positive large-order net volume and ranks stocks by auction turnover.
• The proposed output is the five highest-ranked qualifying stocks.
• The author warns that market-heat signals omit fundamentals and can expose candidates to market declines.
• The examples do not provide backtest results or a fully reproducible implementation.

Tags

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