Chinese Stock Screening with Intraday Range, Auction Volume, and Large-Order Flow

Summary

This proposed Chinese stock screen looks for a daily price range above 1, a ratio between 0.5 and 2 formed from the previous day’s turnover rate and the current auction volume relative to the previous day’s volume, and a current large-order accumulation share above 5%. The post presents these as price-activity and volume filters intended to identify active stocks. It recommends considering company fundamentals and adding position and risk controls, while acknowledging exposure to market and policy changes.

The article includes a short Python example, but no performance evidence or backtest is reported. Its implementation appears to use daily amount in place of auction volume in the ratio and uses large-order volume as a proxy for accumulation, so it may not calculate the described signals as written. The strategy also leaves important operational details unclear, including the precise range definition, timing of the auction data, and how selected stocks are ranked or traded. These limits make the rules a screening idea rather than a validated strategy.

Key ideas

• The screen combines a price-range threshold with a bounded turnover and auction-volume ratio.
• It also requires the large-order accumulation share to exceed 5%.
• The post recommends combining technical filters with fundamentals and explicit capital and risk management.
• No backtest or investment performance evidence is provided.
• The example code may use daily amount and order-flow fields as imperfect substitutes for the stated inputs.

Tags

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