Chinese Stock Screening with Amplitude, Auction Volume, and Large-Order Flow

Summary

This China-focused equity screen combines daily price amplitude with a turnover and opening-auction volume measure, then requires large-order net buying to remain above a threshold for several consecutive days. The stated selection rule uses amplitude above 1, a scaled turnover measure between 0.5 and 2, and at least three days of positive large-order net volume. The rationale is to combine price movement, liquidity, trading activity, and buying pressure.

The document provides illustrative indicator and Python examples, but the sample code uses historical date ranges and proxy fields that may not directly implement every stated condition. It reports no backtest results or performance evidence. The author identifies dependence on large-order flow as a risk, since order pressure can coincide with sharp price moves, and notes that technical signals omit fundamentals and policy factors. Suggested extensions include company financial measures, alternative flow thresholds and persistence periods, and institutional-investor activity; these are proposals rather than tested improvements.

Key ideas

• The screen combines price amplitude, turnover scaled by opening-auction volume, and large-order net flow.
• It selects stocks with large-order buying above a threshold for at least three consecutive days.
• The document offers example code but does not provide performance results or validate the implementation.
• Large-order flow can be volatile, and the method omits fundamental and policy information.

Tags

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