Metaverse Stock Screening by Auction Value and Buy-Sell Volume

Summary

The document describes a Chinese stock screen for companies classified in the metaverse industry. It selects stocks with the highest auction amount for the day, then requires the ratio of large buy volume to large sell volume to exceed 1.3. The stated aim is to combine an activity ranking with a measure of buying pressure. The article also gives platform-specific screening expressions and an illustrative Python workflow using historical prices and tick data.

The screen is a narrow signal-based filter, not a tested trading system: the document provides no performance results, and its sample code does not clearly implement the stated auction-amount ranking. The article itself cautions that order-flow measures can miss technical, fundamental, and industry factors, and that the buy-to-sell ratio alone does not establish investment value. It suggests adding valuation, technical, and industry information, but does not demonstrate whether those additions improve results. Data availability and the exact meaning of the platform-specific fields may also affect implementation.

Key ideas

• The screen focuses on metaverse-industry stocks and ranks them by the day’s auction amount.
• It requires the large-buy to large-sell volume ratio to be above 1.3.
• The article provides platform-specific selection logic and an illustrative Python approach using price and tick data.
• The document reports no backtest evidence, and its sample code may not match the stated ranking rule.
• The authors recommend combining flow measures with technical, valuation, and industry analysis.

Tags

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