Combining Chinese Stock Price and Volatility Filters with Auction Net Buying

Summary

This post outlines a Chinese equities screen that selects stocks with a stated amplitude above 1, a price below 20, and positive net buying attributed to major participants during the opening auction. It provides example indicator and Python-style expressions for combining the price, amplitude, and order-flow conditions. Some formula details are unclear, and the post does not define precisely how the auction net-buy measure is calculated.

The author notes that the screen omits fundamental analysis and that opening-auction flows are short-lived, potentially noisy signals that may not reflect broader market conditions. Suggested additions include other technical indicators and fundamental checks. The post gives no backtest, sample period, trade rules, or performance evidence, so the conditions should be treated as a screening hypothesis rather than a validated strategy.

Key ideas

• The screen requires amplitude above 1, price below 20, and positive opening-auction net buying.
• The post supplies example formulas, but the definition of the net-buy measure is not fully clear.
• Opening-auction flow may be noisy and does not necessarily represent the stock's broader market condition.
• The author suggests combining technical signals with fundamental analysis.
• No backtest or performance evidence is included.

Tags

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