Screening Stocks for Price Range and Sustained Large-Order Buying

Summary

This note outlines a short-term Chinese equity screen combining three signals: a price-range condition, positive large-order net volume for at least three consecutive days, and net buying pressure in the opening auction. It gives indicator expressions for these conditions and a Python example that calculates a rolling net-volume measure and compares weighted and total bid and ask volume. The code also shows optional filters for positive earnings per share and return on equity above 10.

The author frames auction buying as an additional indication of short-term direction. No backtest, performance statistics, or evidence of predictive power is presented, and the price-range formula shown may not correspond clearly to the stated amplitude threshold. The note warns that auction-order measures can be affected by sudden events or manipulation and that the screen lacks a thorough fundamental assessment. It suggests examining auction activity more carefully and pairing flow signals with financial metrics before relying on the selections.

Key ideas

• The screen combines a price-range filter, several days of positive large-order net volume, and positive opening-auction buying pressure.
• The examples measure order flow by comparing bid and ask volumes and by calculating a rolling net-volume ratio.
• Optional fundamental filters include positive earnings per share and a return on equity threshold.
• No backtest or evidence of strategy performance is supplied.
• Auction flow can be distorted by sudden events or manipulation, so the note recommends pairing it with deeper analysis.

Tags

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