Screening Stocks by Price Range, Trading-List Appearance, and Auction Flows
Summary
This document describes a Chinese stock screen that combines price amplitude above 1%, an appearance on the previous day’s trading activity list, and positive net buying attributed to major participants during the opening auction. The rationale is to combine short-term volatility, unusual trading activity, and an apparent buying imbalance. Formula and Python examples outline how the three filters might be combined, but the article gives no backtest results or measured outcomes.
The author notes that a trading-list appearance may not reveal the true direction of flows and that auction net-buy figures can be distorted by short-selling activity. Market reversals are also identified as a risk. Suggested refinements include considering trading volume, valuation, and industry or sector conditions, with broader risk controls. The screen is therefore a hypothesis for selecting short-term candidates, not evidence of persistent predictive power; the document does not specify how the data signals are validated or adjusted for execution.
Key ideas
- The screen requires amplitude above 1%, a prior-day trading-list appearance, and positive opening-auction net buying.\nIt combines volatility, unusual trading activity, and a buying-flow signal.\nThe article warns that trading-list data may not reveal true flows and auction signals may be distorted.\nIt suggests adding volume, valuation, and sector context to improve assessment.\nNo backtest or performance evidence is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.