Chinese Stock Screening by Amplitude, Share Code, and Auction Order Flow

Summary

This note proposes a Chinese equity screen using three conditions: price amplitude above a threshold, a stock code beginning with 60, and large or extra-large buy orders during the opening auction exceeding a stated combined-volume threshold. It frames the first condition as a volatility filter and the order-flow condition as a way to follow large market participants. Formula and Python sketches show how to filter codes, compare bid and close prices, apply order-size rules, and sort candidates by a measure of buying pressure.

The article does not report a backtest, selected-stock examples, or evidence that the filters predict returns. It cautions that large-order data can be anomalous and that the screen omits valuation, business conditions, and broader market context. It recommends considering macroeconomic conditions, industry trends, company financials, and the distribution of large orders. The code sketch also appears to combine order-size conditions in a way that may be stricter than the prose description, so its precise implementation would need review before use.

Key ideas

• The screen combines an amplitude filter, a stock-code prefix, and opening-auction buy-order data.
• The article treats large auction orders as a possible indicator of institutional or large-player activity.
• Its code sketches add bid-price comparisons and rank candidates by an order-flow measure.
• The note offers no performance results and warns that large-order data may contain short-term anomalies.
• It recommends supplementing the screen with market, industry, and company information.

Tags

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