Chinese Stock Screen Using Turnover, Recent Limit-Ups, and Auction Orders
Summary
This Chinese equity screen combines a 3%–12% turnover range, at least one limit-up session in the prior 25 days, and opening-auction price movement with large and extra-large order buying. The stated order-flow condition requires combined buying volume above 0.7 ten-thousand units, alongside further comparisons between buy and sell order measures. The article includes indicator and Python examples intended to implement the screen, though the code contains conditions and calculations that do not map cleanly to the prose description.
The rationale is to find actively traded shares with recent strong price action and evidence of buying interest. The author warns that technical and flow filters can overlook weak fundamentals and carry market risk, and suggests adding other technical and fundamental measures. No backtest results or performance evidence are provided, so the screen's predictive value is not established.
Key ideas
- The screen looks for turnover between 3% and 12%.\nIt requires a limit-up event within the previous 25 days.\nOpening-auction price and large-order flow are used to assess buying interest.\nThe article provides implementation examples but no performance evidence.\nTechnical and order-flow filters may miss fundamental weakness.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.