Chinese Metaverse Stock Screen Using Auction Flows and Relative Volume

Summary

This note presents a Chinese equity screen for stocks associated with the metaverse theme. It combines positive net buying attributed to major participants during the auction with a relative-volume filter: volume is described as greater than 1.5 and less than 6 times its five-day average. The article’s title mentions a lower bound of 1 for relative volume, while the body and examples use 1.5, so the intended threshold is inconsistent.

The proposed logic aims to combine a thematic universe, auction-period flow, and unusually elevated but bounded trading activity. The article flags data quality and timing as concerns and notes that the screen lacks fuller risk controls. Its code examples do not convincingly demonstrate the stated auction-flow calculation: one uses a broad northbound-flow dataset, which is not clearly equivalent to auction net buying by major participants. No backtest or measured outcomes are supplied, so this is an illustrative screening idea rather than evidence of an effective strategy.

Key ideas

• The screen focuses on metaverse-related Chinese stocks with positive auction-period net buying.
• The body specifies relative volume above 1.5 and below 6, despite the title’s different lower threshold.
• The approach combines a theme filter, a flow signal, and a volume-activity filter.
• The example flow data may not measure the auction-period major-participant buying described in the strategy.
• The note reports no performance test and highlights incomplete risk controls and possible data inaccuracies.

Tags

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