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

Summary

This Chinese-language article describes an equity screening rule based on price range, large-order net volume, turnover, and auction activity. The stated rule looks for stocks with an amplitude above 1, positive large-order net volume for at least three consecutive days, and a combined prior turnover and auction-volume ratio between 0.5 and 2. It also provides example indicator and Python implementations and suggests adding financial quality filters such as positive earnings per share and return on equity above 10.

The article warns that technical and market-activity measures can lose reliability as conditions change, and that the screen omits broader fundamental and macroeconomic context. Its code examples do not fully align with the prose: the Python amplitude filter and some turnover and auction calculations appear inconsistent with the stated selection rule. No backtest results or evidence of returns are supplied, so the screen should be treated as a proposed filter rather than a validated strategy.

Key ideas

• The screen combines price amplitude, large-order net volume, turnover, and auction-volume activity.
• It specifies positive large-order net volume over at least three consecutive days.
• The article recommends considering additional technical or fundamental filters.
• The implementation examples appear inconsistent with parts of the written rule.
• No performance evidence is provided, and the article notes sensitivity to market conditions and omitted fundamentals.

Tags

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