Screening Small-Float Chinese Stocks by Auction Net Buying and Amplitude

Summary

This post describes a stock screen requiring daily amplitude above one percent, a tradable share count no greater than 5.5 billion, and positive net buying attributed to major participants during the opening auction. It proposes ranking qualifying shares, with an example that orders them by volume ratio. The post frames smaller float and positive auction buying as signals of short-term trading opportunity.

The document supplies example formulas and Python-style logic but no backtest, measured results, or evidence that these signals predict returns. It warns that the screen omits company fundamentals, reflects short-term trading conditions, and may be distorted by speculative or misleading auction activity. It suggests checking fundamentals and other technical measures, as well as evaluating the scale and reliability of auction flows. The meaning and units of the auction-buy field, amplitude calculation, and ranking rule should be validated against the data source before testing.

Key ideas

• The screen combines amplitude above one percent, a float cap of 5.5 billion shares, and positive opening-auction net buying.
• The example ranks passing stocks by volume ratio.
• The post offers no backtest results or evidence of predictive performance.
• It cautions that the screen lacks fundamental analysis and that auction flow may be misleading.

Tags

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