A Chinese Stock Screen Combining Range Shape and Auction Activity

Summary

The document describes a Chinese stock-selection screen that combines daily amplitude, a rounded price-range condition, and a measure comparing the prior day’s turnover with the ratio of current auction volume to prior-day volume. It gives a formula intended to identify stocks with constrained recent price ranges and bounded changes in auction activity. The stated rationale is that range shape and activity measures may help identify short-term opportunities while avoiding excessive volatility.

A reference indicator formula adds further conditions involving recent highs and lows, valuation, time of day, and other platform-specific fields. The post does not define all of those fields clearly, explain how the conditions were derived, or show backtest results, a benchmark, or out-of-sample evidence. It acknowledges that the rule is subjective and omits fundamental and broader market context. The author recommends combining factors and reviewing parameters, but does not provide a completed Python implementation. Treat the screen as a heuristic example that needs precise definitions and empirical validation before use.

Key ideas

• The screen combines daily amplitude, a rounded-range condition, and relative auction-volume activity.
• Its stated goal is to find stocks with trading activity while filtering for a contained recent price range.
• The reference formula includes additional valuation, timing, and platform-specific conditions.
• The post supplies no performance evidence and leaves some indicator definitions unclear.
• The author advises combining the screen with other analysis and reassessing its parameters.

Tags

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