Chinese Stock Screening with Intraday Amplitude and Auction Order Flow

Summary

This document describes a Chinese equity screen combining price movement, a technical indicator, and opening-auction buying activity. It selects stocks with amplitude above 1, a KDJ reading below 20, a positive auction price move, and reported large and extra-large buy volume above the stated threshold. The article presents the screen as a way to find stocks with increased trading activity and substantial buying flow, and includes example implementations for two trading platforms.

The author cautions that the criteria emphasize short-term flows, so selected stocks may be volatile and the signals could be manipulated. Suggested refinements include adding technical and financial measures, considering longer-term trends, and setting entry and exit rules. No backtest, performance evidence, or validation is supplied. The article also leaves some terms and units unclear, and its examples may not implement the prose criteria consistently, so the screen would need careful verification before research or use.

Key ideas

• The screen combines amplitude, a low KDJ reading, positive auction movement, and large-order buying volume.
• It is intended to identify stocks with active trading and notable buying flows.
• Short-term order flow can be volatile and vulnerable to manipulation.
• The article suggests adding trend and financial analysis, but reports no performance testing.

Tags

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