Chinese Stock Screening with Auction Flows and Price Filters

Summary

The document presents a Chinese-market stock screen combining positive main-fund net buying during the opening auction, a positive increase in holdings for the day, and a 9:25 price gain below 6%. It suggests that the combination may identify stocks with buying interest while limiting selection of names that have already risen sharply. No measured results or validation for this initial screen are provided.

It then proposes a broader set of filters: turnover above 5%, net inflows above 1 million yuan, a close above the previous close but below the five-day moving average, volume above the prior day, a 14-day gain below 20%, and main-fund buying above 5% of turnover. The proposed logic mixes flow, activity, and price conditions, but the document gives no backtest, sample definition, execution assumptions, or evidence that the filters improve returns. It explicitly cautions that the conditions cannot guarantee gains and recommends considering company finances, industry context, and other indicators. The page also describes copying the selection sentence into a platform template for backtesting.

Key ideas

• The initial screen combines positive auction-stage main-fund net buying with daily holding growth above 5% and a 9:25 gain below 6%.
• The expanded screen adds turnover, net inflow, price, volume, recent return, and fund-flow share conditions.
• The close is required to exceed the prior close while remaining below the five-day moving average.
• The document provides screening rules but no empirical evidence that they produce positive returns.
• It advises combining the filters with company and industry analysis because the conditions do not ensure a stock will rise.

Tags

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