Combining Metaverse Theme, Turnover, and Auction Order Flow in a Stock Screen

Summary

This proposed Chinese stock screen selects companies associated with the metaverse theme, requires prior-day turnover above 8%, and applies opening-auction conditions involving price change and large and extra-large buy orders. The stated rule requires combined extra-large-order buying above 0.7 thousand ten-thousands, alongside a price move exceeding 2% in absolute terms. The article includes formula and Python examples, but some variable names and thresholds in the examples do not consistently match the prose description, so the intended calculations need verification.

The author presents auction order flow as a way to gauge market interest and recommends diversification across themes and additional market or macroeconomic information. Risks include dependence on liquidity and fund flows, concentration in a favored sector, and noisy auction data that may produce false signals. No backtest results or evidence of profitability are supplied; the screen is a proposed filter rather than a validated strategy.

Key ideas

• The screen combines a metaverse theme with prior-day turnover and opening-auction order-flow conditions.
• It also filters for a sufficiently large absolute opening price change.
• Auction activity can be noisy, and weak liquidity or capital flows may affect selection quality.
• The examples contain inconsistencies that should be resolved before implementation, and no performance evidence is given.

Tags

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