Chinese Stock Screening by Amplitude,龙虎榜 Activity, and Auction Buying

Summary

This note describes a Chinese stock selection screen combining three filters: prior-day price amplitude above 1%, appearance on the previous day’s 龙虎榜 list, and substantial large or extra-large buying during the auction. The stated threshold for combined buying volume is above 7 million. The rationale is to seek volatile stocks with recent market attention and visible buying support. The document provides sample indicator logic and Python-style steps for combining the conditions.

It cautions that large auction orders may be followed by a pullback, 龙虎榜 activity does not capture a stock’s full prospects, and single-factor screens omit relevant information. Suggested refinements include tracking money flows across periods and adding company fundamentals and performance measures. No backtest, return data, or execution rules are reported, so the proposed rationale is not evidence that the screen predicts profitable trades. The examples also leave some implementation details unclear, including how order size categories are identified and how data timing is aligned.

Key ideas

• The screen combines prior-day amplitude, previous-day 龙虎榜 appearance, and auction buying volume.
• The stated buying-volume threshold is above 7 million.
• The rationale treats volatility, market attention, and buying activity as signs of potential opportunity.
• Auction buying and 龙虎榜 records can be misleading and should not be treated as complete measures of stock quality.
• The note recommends adding money-flow context and fundamental analysis, but gives no performance evidence.

Tags

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