Screening Chinese Stocks by Volatility, Auction Value, and Large-Order Flow

Summary

This Chinese stock-selection proposal combines three filters: daily amplitude above 1, a top-five rank by the day’s opening-auction amount, and large-order net volume above 0.05 for at least three consecutive days. The author interprets persistent positive large-order flow as a possible sign of institutional interest, then recommends adding fundamental checks such as profitability and growth before selecting stocks.

The document provides indicator-formula references and a Python example intended to implement the screen, with a sample request for five selections. It does not present backtest results, define the data and ranking conventions in detail, or validate that large-order activity reliably signals favorable future returns. The author also cautions that the screen can omit company financial health and that policy changes may distort interpretations of institutional trading. The code is explicitly framed as a reference requiring adaptation, so implementation details and data compatibility need verification.

Key ideas

• The screen selects stocks with amplitude above 1 and top-five opening-auction amount rankings.
• It also requires large-order net volume above 0.05 for at least three consecutive days.
• Positive large-order flow is treated as a possible indicator of institutional interest.
• The proposal suggests adding profitability and growth filters to assess company quality.
• No performance evidence is supplied, and the flow signal may be affected by policy or data issues.

Tags

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