Chinese Stock Screen for Wide Ranges, Sharp Losses, and Auction Buying

Summary

This Chinese equity screening rule looks for stocks with an intraday amplitude above 1, a day’s maximum decline between 4% and 5%, and positive net buying by major participants during the opening auction. It frames the range and decline as measures of current price action and auction buying as a sign of capital activity. The document also offers a sample implementation using daily price data and tick trades, plus additional filters in its code example.

The post gives no backtest, performance figures, or comparison with alternative rules. It cautions that unusual market conditions can undermine the indicators and that a mechanical screen may miss other candidates. Suggested extensions include more flow measures and fundamentals such as market value, earnings, and return on equity. The example code’s filters are not identical to the stated rule, so implementation details would need review before use.

Key ideas

• The screen requires intraday amplitude above 1 and a maximum daily decline between 4% and 5%.
• It also requires positive net buying by major participants in the opening auction.
• The author treats price action and auction flows as complementary selection inputs.
• The post suggests adding other flow and fundamental measures, but presents no evidence that they improve results.

Tags

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