Stock Screening by Volatility, Auction Amount, and Buy-Sell Volume Imbalance

Summary

This Chinese-language post describes a stock screen that requires amplitude above 1, ranks candidates by today’s auction amount, and selects the top five, while also requiring external volume to exceed internal volume by a stated ratio of 1.3. The post interprets these filters as seeking active, volatile stocks with stronger buying activity. It includes example formula and Python snippets, but the implementations appear illustrative and may need adaptation to the relevant data fields and platform.

The document gives no backtest, return, or risk-adjusted performance evidence. It warns that the screen omits company fundamentals and suggests adding market, capital-flow, profitability, growth, and other factors. Its buying-pressure interpretation is a hypothesis, not demonstrated evidence that selected stocks will rise; the thresholds and ranking method also need independent validation.

Key ideas

• The screen combines an amplitude threshold, an auction-amount ranking, and a buy-sell volume imbalance filter.
• The post interprets a higher external-to-internal volume ratio as a sign of stronger buying interest.
• Example formulas and Python snippets are provided as references, not validated implementations.
• The screen ignores fundamentals and has no reported backtest or performance evidence.
• The author suggests combining technical, market, capital-flow, and fundamental factors.

Tags

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