Combining Auction Flows and Price Conditions in a Stock Screen

Summary

This post outlines a Chinese equity screen combining high intraday amplitude, a prior-session opening auction price at the limit down level, and positive net buying attributed to large traders during the current auction. It then adds an upward-sloping 60-day moving average and describes sorting qualifying stocks by market value before selecting a limited number. The article presents indicator expressions and a Python-style example as implementation references.

The rationale offered is that large price swings may present opportunities, the prior auction condition may reflect sentiment, and positive auction buying may signal demand. The post also recommends adding valuation or financial measures, other technical indicators, stop losses, and position controls. It supplies no performance test or evidence that the proposed filters predict returns. The example mixes platform-specific indicators with a generic data interface, so the implementation should be treated as illustrative and checked against the actual data source and available fields. The author cautions that screening cannot guarantee gains and may return too many stocks.

Key ideas

• The screen combines price amplitude, a prior opening auction condition, and positive auction net buying.
• It adds a rising 60-day moving average as a trend filter.
• The example ranks qualifying stocks by market value before selecting a set number.
• The post provides no backtest evidence and warns that simple filters may produce many candidates.
• It suggests incorporating fundamentals and explicit risk controls.

Tags

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