A Chinese Stock Screen Combining Intraday Activity and Volume Ratios

Summary

This note describes a China A-share screening rule that combines price range and volume activity. It selects stocks with an amplitude above 1, a product of prior-day turnover and the ratio of auction volume to prior-day volume between 0.5 and 2, and a current volume ratio between 1.5 and 6. The stated aim is to find actively traded shares while avoiding unusually unstable volume.

The document gives a brief rationale and example indicator and Python implementations, but no backtest, performance data, or evidence that the thresholds improve returns. It acknowledges that a single day’s volume ratio does not capture longer-term activity, and that the screen omits company fundamentals and valuation. The Python example also uses proxy calculations that do not exactly match the described auction-volume rule, so implementation details would need careful validation before research or trading use.

Key ideas

• The screen combines price amplitude, prior turnover, auction volume, and current volume ratio.
• Its specified volume ratio range is intended to favor active trading while limiting extreme volume changes.
• The document provides example formulas and code but no empirical performance evidence.
• It notes that the rule omits fundamentals, valuation, and longer-term trading activity.

Tags

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