Chinese Stock Screen Using Amplitude, the Five-Day Average, and Auction Net Buying

Summary

This Chinese equities screen selects stocks with amplitude above 1, a closing price above the five-day moving average, and positive net buying attributed to major traders during the auction. The article interprets amplitude as a sign of price movement, the moving-average condition as relative price strength, and auction net buying as a short-term signal of buying pressure.

It suggests that these signals could be supplemented with momentum indicators, company financial information, and macroeconomic context. The article provides formula and sample-code references, but offers no backtest, performance evidence, or rules for entering and exiting positions. It also acknowledges that the screen relies on price and trading behavior and may miss fundamental risks or longer-term company prospects; the platform-specific data fields require validation before use.

Key ideas

• The screen combines amplitude above 1, price above the five-day moving average, and positive auction net buying.
• The conditions mix recent price movement, a short-term trend filter, and an order-flow signal.
• The article recommends considering technical indicators, financial fundamentals, and macroeconomic conditions as additional context.
• No performance results are provided, and the screen does not address entries, exits, or position sizing.

Tags

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