Intraday Stock Screening with Momentum and Auction Order Flow

Summary

This Chinese stock-screening note combines a price-range filter, exclusion of ST-designated shares, a five-period trend condition, and large or extra-large buy orders during the opening auction. It also limits selection to before 10 a.m. The example describes the five-period condition as closing prices at or above their five-day average in each of the past five periods, then sums those signals. The intended universe is stocks meeting all the stated conditions.

The note offers no backtest results or evidence that the screen predicts returns. Its accompanying Python example appears inconsistent with the written criteria: it calculates an order amount divided by volume and compares that ratio with a threshold, rather than clearly checking combined order volume against the stated threshold. The author flags the lack of fundamental analysis and the possibility that large auction orders reflect manipulation, and suggests adding valuation measures and risk controls. The strategy should therefore be treated as a screening concept, not a validated trading system.

Key ideas

• The screen combines a price-amplitude threshold, non-ST status, and a before-10 a.m. selection time.
• It defines a five-period trend filter using closes relative to a five-day average.
• It incorporates large and extra-large buy-order data from the opening auction.
• The note provides no performance evidence and warns that order flow may be misleading.
• The code example does not clearly implement the written order-volume threshold.

Tags

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