Chinese Stock Screening with Weekly Moving Averages and Auction Flow

Summary

This Chinese equity screen combines three stated conditions: amplitude above 1, a weekly five-period moving average crossing above the ten-period average, and positive net buying by major participants during the opening auction. It presents the moving-average signal as a technical filter and auction buying as an indication of money flow. The article includes indicator and Python examples, with the Python approach estimating auction net buying from best bid and ask prices and volumes, then filtering eligible stocks.

No historical performance or comparison is supplied. The article cautions that the screen omits company fundamentals and industry trends, and that focusing heavily on money flow can expose investors to market and volume effects. It recommends adding fundamental and industry measures and treating the code as an adaptable reference. The displayed formula and prose are not fully consistent about the moving-average crossover, and the example’s daily calculations do not clearly establish the stated weekly signal. These details limit reproducibility without further specification.

Key ideas

• The screen combines amplitude, a weekly moving-average crossover, and positive opening-auction net buying.
• Auction net buying is treated as a measure of short-term money flow.
• The Python example estimates net buying from best bid and ask prices and volumes.
• The article offers no backtest and warns that the screen omits fundamentals and industry trends.
• The formula and code do not clearly implement the stated weekly crossover in the same way.

Tags

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