Screening Chinese Equities by Range, Listing Age, and Auction Buying

Summary

This stock screen selects Chinese equities with an intraday amplitude above 1, a listing history longer than one year, and combined large and extra-large buy volume during the auction above 7 million. The article interprets the buy-volume condition as a sign of trading interest and presents it alongside basic range and listing-age filters.

The document provides a screening rationale and sample formula and Python-style implementation, but no backtest, return analysis, or evidence that the screen predicts future performance. It notes that high-amplitude stocks can be volatile and that large orders may reflect temporary flows. It suggests adding volume and valuation measures and conducting further company research. The supplied code appears illustrative and has inconsistencies with the stated auction-volume rule, so its implementation should not be treated as a validated reproduction of the screen.

Key ideas

• The screen combines an amplitude threshold, a listing-age filter, and auction-period large-order buying.
• The stated combined buy-volume threshold is above 7 million.
• Large orders may represent temporary activity and do not guarantee durable demand or future returns.
• High-amplitude stocks carry volatility risk, and fundamental filters may add context.
• The sample implementation is illustrative and does not establish a backtested strategy.

Tags

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