Screening Stocks for High Amplitude, Large-Order Flow, and Auction Turnover

Summary

This Chinese stock-selection note proposes combining three signals: daily amplitude above 1, large-order net volume above 0.05 for at least three consecutive days, and prior-day auction turnover above 0.26. The intended idea is to find shares with substantial price movement, active large-order trading, and strong demand reflected in auction activity. It gives indicator expressions and a sample implementation as references for constructing the screen.

The article warns that the conditions omit company fundamentals and valuation, and that a single set of technical measures may select stocks inaccurately. Auction-turnover data also needs timely updating. A detail requiring care is that the stated indicator expressions use the absolute value of large-order net volume, which captures magnitude regardless of whether the flow is positive or negative; this differs from the description's positive-flow interpretation. The note offers no backtest or performance evidence, so the criteria are a screening hypothesis rather than a demonstrated strategy.

Key ideas

• The screen requires amplitude above 1, large-order net-volume magnitude above 0.05 for three consecutive days, and prior-day auction turnover above 0.26.
• The proposed rationale links price movement and trading activity with stronger market demand.
• The use of absolute net volume does not distinguish buying pressure from selling pressure.
• The article advises adding fundamental measures and keeping auction data current.
• No historical performance evidence is supplied.

Tags

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