Chinese A-Share Screen Using Auction Flows and a Rising 30-Day Average
Summary
The document describes a daily pre-open screen for mainland Chinese main-board stocks. It combines an amplitude threshold, a large-order signal in auction price movement, net purchases by very large orders, and a rising 30-day moving average. Candidates are then ranked by capital-flow and technical measures, with the aim of selecting relatively strong stocks. It also provides formula and Python examples as implementation references.
The author presents the moving-average condition as a way to emphasize the longer-term trend while retaining short-term price and volume signals. The stated limitations are that a technical screen can overlook company fundamentals and industry context, and that a narrow set of filters may not capture changing market conditions. The article recommends incorporating fundamental and industry analysis and adapting the criteria to the market and investment style. It offers no backtest results or performance evidence, and the examples contain differing threshold scales, so the precise implementation would need checking before use.
Key ideas
- The screen combines intraday auction signals with a rising 30-day moving average.
- It filters main-board stocks by amplitude and very large-order buying activity.
- Candidates are ranked using capital-flow and technical measures.
- The author cautions that technical filters alone can miss fundamental and industry information.
- No backtest results are provided, and the code examples should be checked for consistent units.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.