Stock Screening with Intraday Range, Institutional Flow, and Auction Buying

Summary

The post proposes a Chinese equity screening rule that combines a price-range condition, positive institutional fund flow, and buying volume from large and extra-large orders during the opening auction. Stocks meeting the combined conditions are candidates for purchase. The article frames range and fund flow as measures of price strength and institutional activity, while auction buying is treated as evidence of demand and market attention. It also suggests adding market capitalization, order cancellation rates, and candlestick patterns as supplementary filters.

The post includes example formulas and sample code for applying the conditions, but it does not provide a backtest, transaction-cost analysis, or performance results. Its risk discussion notes that selected shares may stall or experience extreme volatility, and that information gaps can make the screen diverge from actual outcomes. The examples use particular data fields and thresholds, and the author says they may need adjustment. The screen is therefore a proposed selection heuristic, not demonstrated evidence of a profitable or robust strategy.

Key ideas

• The proposed screen combines price range, positive institutional flow, and large auction buying.
• The selected conditions are intended to capture price strength and demand.
• The author suggests adding market capitalization, cancellation rates, and candlestick analysis.
• The post warns that picks may stall, become highly volatile, or reflect incomplete information.
• No backtest or measured strategy performance is reported.

Tags

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