Screening Chinese Stocks for High Amplitude, Volume, and Positive Auction Flow

Summary

This note describes a Chinese equity screen that looks for stocks with daily amplitude above 1, current volume above 10,000 lots, an opening price above the previous close, and positive net buying attributed to major participants during the auction. The combination is intended to find active, volatile stocks with apparent buying support. It also provides an indicator formula and sample Python approach, though the code’s data fields and proxy filters do not clearly reproduce every stated condition.

The author cautions that the screen omits fundamentals and broader market risks, and that technical and flow indicators alone cannot establish investment value. Suggested refinements include adding indicators such as MACD and KDJ, valuation and profitability measures, and market, industry, liquidity, and macro context. No performance results or backtest evidence are reported, so the proposed criteria remain a screening idea rather than a validated strategy.

Key ideas

• The screen combines amplitude, current trading volume, a gap up, and positive net auction buying.
• The stated thresholds aim to select volatile, actively traded stocks with buying support.
• Technical and flow signals do not replace fundamental or market risk analysis.
• The sample implementation may not match all of the described criteria and needs data-field validation.

Tags

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