Chinese Stock Screening with Auction Imbalance, Large Orders, and Volatility
Summary
This proposed Chinese equity screen combines daily amplitude, an opening-auction price-change or order-imbalance signal, large-order buying, and a historical year filter. The stated thresholds include amplitude above 1, an auction-related change above 3 percent in absolute terms, and large-order buying above 70 million; it also requires qualifying data from 2021. The accompanying explanation interprets volatility and sizable buying as relevant selection signals.
The article provides a formula sketch and Python example, but no test results or evidence that the filters predict returns. The examples are not fully consistent: the prose describes auction buying and a threshold of 0.7 ten-thousand units, while the formula and code use fields and units that may represent different quantities. The year restriction also makes the screen historical rather than a directly reusable current rule. The author cautions that fundamentals are omitted and that parameters may affect stocks differently, recommending broader financial and technical inputs. Signal definitions, data units, and out-of-sample performance would need careful checking.
Key ideas
- The proposed screen combines daily amplitude, an auction-related signal, and large-order buying.
- It also restricts qualifying observations to 2021, limiting its use as a current screen.
- The document gives formula and code examples but reports no strategy performance.
- Its descriptions and examples appear inconsistent about the signal definition and units.
- Fundamental measures and parameter validation are suggested as possible additions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.