Chinese Stock Screening with Intraday Amplitude and Auction Flow

Summary

This Chinese stock selection note describes a screen combining price range, turnover, opening auction volume, and estimated main-force buying. It selects stocks with amplitude above 1, a product of prior-day turnover and the ratio of current auction volume to prior-day volume between 0.5 and 2, and positive auction net buying. The accompanying discussion interprets amplitude and turnover as measures of trading activity and sentiment.

The note gives no performance results or validation. Its Python example adds market capitalization bounds and other calculations, but those implementation details do not consistently match the stated screening rule, and the source does not define the auction data or calculation conventions clearly. It acknowledges that fixed thresholds can miss candidates or select weak stocks, and that market, company, policy, and event changes can undermine the screen. It suggests adding indicators and liquidity analysis, but provides no evidence that those changes improve outcomes.

Key ideas

• The screen requires amplitude above 1 and a turnover-adjusted auction volume ratio between 0.5 and 2.
• Positive estimated net buying during the opening auction is an additional selection condition.
• The note treats turnover and volume as indicators of trading activity and sentiment.
• The source reports no backtest or performance evidence, and its code does not cleanly implement the stated rule.
• Fixed thresholds may omit potential candidates or include stocks that later perform poorly.

Tags

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