Chinese Stock Screening with Auction-Time Large-Order Buying

Summary

This document describes a Chinese stock selection rule combining daily price range with buying activity around the opening auction. It screens for stocks whose high-to-low range exceeds 1% of the previous close, restricts the sample to 2021, and looks for a specified increase in turnover at 09:45. The accompanying indicator and Python examples translate those conditions into filters using prior close, volume, turnover, date, and transaction time.

The article interprets a larger range as evidence of volatility and auction buying as a possible sign of continued demand. It also cautions that large-order classifications can be subjective or delayed, and that buying flows may draw speculative activity and increase price swings. It recommends combining order-flow measures with other factors and adjusting for market conditions. No backtest results or performance evidence are provided, and the fixed year and auction-time conditions limit how broadly the rule can be applied.

Key ideas

• The screen requires a daily high-to-low range above 1% of the previous close.
• It restricts eligible observations to the year 2021.
• It uses turnover and volume at 09:45 as a proxy for large-order buying.
• The article warns that order-size signals can be delayed and may coincide with higher volatility.
• It provides no performance results for the proposed screen.

Tags

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