Stock Screening with Price Shape, Volatility, and Auction Net Buying

Summary

This note proposes a Chinese stock screen combining a price-range condition, a rounded price pattern, and positive net buying by large participants during the opening auction. Its indicator expression approximates the rounded-pattern condition using the stock’s position within a recent high-low range, alongside a prior-close price comparison and an auction-flow threshold. The suggested interpretation is that smoother price movement and positive auction buying may identify stocks with near-term upside potential.

The document provides no backtest, sample definition, or evidence that these filters predict returns. It cautions that the screen omits company fundamentals and that opening-auction net buying can fluctuate or be manipulated. It recommends adding other technical measures such as volume or MACD, and considering fundamentals and industry context. The pattern label is not precisely defined beyond the supplied formula, so the formula may not capture every trader’s meaning of a rounded price structure.

Key ideas

• The proposed screen combines a price movement threshold, a rounded-pattern proxy, and positive opening-auction net buying.
• The formula uses the stock’s recent trading range to represent the price-shape condition.
• The note interprets positive auction flow as a possible sign of buying interest, without presenting validation.
• It identifies missing fundamental context and potentially unreliable auction-flow data as risks.
• The rounded-pattern description is only operationalized through a formula, with no broader definition or test.

Tags

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