Screening Robot-Themed Stocks with Turnover and Auction Order Flow

Summary

This note proposes a short-term screen for Chinese stocks that combines turnover, a robot-industry classification, free-float market value, and auction-period order flow. It describes selecting stocks with turnover between 3% and 12% and float value below 10 billion yuan, then looking for positive auction demand, an indicated price rise, and large or extra-large buy orders above a stated threshold. The formula also excludes securities whose codes begin with a specified prefix and orders candidates by price.

The author frames auction orders as a way to detect near-term buying pressure, while warning that the method gives too much weight to short-term flows and does not assess long-term business value. The example code uses block-trade and daily data fields that may not correspond cleanly to auction order-book measures, and its screen is not fully consistent with the prose. No backtest or performance results are included; the note recommends adding fundamental analysis and risk controls.

Key ideas

• The screen combines turnover and float-value limits with a robot-theme filter.
• It uses auction-period price and buy-order signals to identify short-term demand.
• The author cautions that order flow alone gives little insight into long-term fundamentals.
• The code example's data fields do not clearly implement the auction signals described in the text.
• No performance evidence or backtest results are provided.

Tags

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