A Chinese Stock Screen Combining Weekly Golden Cross and Auction Volume

Summary

This stock selection method combines a price range filter, a weekly moving average crossover, and a measure of opening auction activity. It selects shares whose amplitude exceeds the stated threshold, whose weekly five-period moving average crosses above the ten-period average, and whose previous-day turnover multiplied by today’s auction volume relative to yesterday’s volume falls within a specified band. The document frames the first two rules as technical filters and the volume calculation as an indicator of changing market demand.

The post offers formula and Python examples, but no performance results or empirical validation. It cautions that the fixed rules may not adapt as market conditions change and do not account for company fundamentals. It suggests adding other market measures and fundamental factors, while emphasizing that users may adjust the screen to their needs. The supplied code and formulas are implementation references; the document does not establish that the selection rules predict returns or specify transaction costs, portfolio construction, or risk controls.

Key ideas

• The screen requires a weekly five-period moving average to cross above the ten-period average.
• It filters for amplitude above a threshold and a bounded turnover-adjusted auction-volume measure.
• The author presents price and volume conditions as combined technical and market-demand filters.
• The post supplies formula and code examples but reports no evidence of investment performance.
• Fixed rules and omitted fundamentals are identified as limitations.

Tags

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