Chinese Stock Screen Combining Auction Order Flow and Ten-Day Momentum

Summary

This post outlines an A-share stock screen using daily amplitude, opening-auction price and order-flow signals, and recent returns. Its stated criteria include amplitude above 1, a positive but less than 35% ten-day gain, and a threshold for large or extra-large buy orders. Formula and Python examples are included, although their variable definitions and implementations are not entirely consistent with the prose description.

The author presents the combined filters as a way to consider volatility, buying activity, and recent performance. No backtest results or out-of-sample evidence are supplied. The post warns that short-term returns can be noisy, that market and industry conditions change, and that the screen ignores company fundamentals. It suggests adding fundamental data and comparing longer return windows, but does not specify portfolio construction, trading costs, or risk controls. The strategy should therefore be read as a screening proposal rather than a validated trading system.

Key ideas

• The screen combines daily amplitude, auction signals, large-order buying, and a ten-day return range.
• The stated return filter admits stocks with gains above zero and below 35% over ten days.
• The article provides sample implementations, but some code details differ from its written criteria.
• The post reports no performance evidence and identifies short-horizon noise and missing fundamentals as limitations.

Tags

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