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

Summary

This Chinese equity screening example combines three filters: an intraday high-low range above 1%, a high ranking for net large-order volume, and prior-day opening-auction turnover above a stated threshold. The example sorts selected names by trading amount and is presented for short- to medium-term trading. It includes an indicator formula and illustrative Python logic for retrieving stock data, applying the filters, and assembling a candidate list.

The article cautions that high auction turnover does not ensure a later rebound and that wide-ranging stocks can carry greater risk. It recommends adding fundamental and broader market checks, managing capital, and following stop-loss and profit-taking rules. The sample code is not a validated research implementation: it relies on a large-order measure that is not defined in the text, mixes data fields that may require verification, and gives no backtest or return evidence. Treat the conditions as a rough screening template rather than proof of a profitable strategy.

Key ideas

• The screen combines a daily range threshold, a large-order net-volume ranking, and prior-day auction turnover.
• The example sorts candidates by trading amount and targets short- to medium-term use.
• The article warns that turnover and large price ranges do not guarantee favorable future returns.
• It recommends fundamental checks, capital controls, and stop-loss and profit-taking rules.
• The code is illustrative and provides no backtest or performance evidence.

Tags

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