Screening Stocks by Auction Value, Amplitude, and Large-Order Net Volume
Summary
The document describes a Chinese equity screen that combines an amplitude threshold above 1, a top-five ranking by today’s auction amount, and a top-five ranking by large-order net volume. It defines large-order net volume as the difference between buy and sell volume for trades of at least 100 lots, and treats a high rank as a possible sign of substantial buying interest. The article also provides example indicator expressions and a Python outline, though the snippets use platform-specific or undefined ranking functions and do not form a clearly reproducible implementation.
The screen is presented as a way to identify stocks attracting large flows, but the article reports no backtest, performance data, or validation of that interpretation. It warns that the filters do not assess company quality and that net-volume rankings may reflect either side of market activity without revealing its cause. It suggests combining flow measures with financial, technical, industry-relative, and sentiment context. The exact market, timing, and meaning of the amplitude threshold are not fully specified.
Key ideas
- The screen combines an amplitude threshold with top-five auction-amount and large-order net-volume rankings.
- Large-order net volume is defined as buy volume minus sell volume for trades of at least 100 lots.
- A high net-volume rank may indicate concentrated trading interest, but does not establish why it occurred.
- The article recommends adding company fundamentals and market context before treating the screen as an investment signal.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.