Chinese Stock Screening with Intraday Range, Turnover, and Auction Volume

Summary

This Chinese stock screen combines a price-range condition with a turnover and opening-auction volume measure. It seeks stocks whose amplitude exceeds 1 and whose prior-day turnover multiplied by the ratio of today’s auction volume to yesterday’s volume falls between 0.5 and 2. A ranking by large-order net volume is also used to identify stocks with active capital flows.

The note presents the screen as a way to find active shares during market themes, but it provides no backtest, performance figures, or evidence that the signals predict returns. It cautions that the rules use technical and flow data alone, leaving out company fundamentals, and that large-order flows can reflect temporary buying or selling. It suggests adding market capitalization, sector, earnings, and valuation measures. The accompanying indicator and Python examples use conditions that do not fully match the prose, so implementation details should be checked before use.

Key ideas

• The screen combines an amplitude threshold with a bounded turnover and auction-volume ratio.
• It adds a large-order net-volume ranking as a proxy for capital flow.
• The proposed use is to find active stocks when market themes are strong.
• The document gives no performance evidence and notes that short-term flows are uncertain.
• Fundamental and valuation measures are suggested as possible additions.

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