A Chinese Stock Screen Using Amplitude and Auction Volume

Summary

This proposed Chinese equities screen selects non-special-treatment stocks with daily amplitude above 1 and a product between 0.5 and 2: the previous day's turnover rate multiplied by today's opening-auction volume divided by the previous day's volume. It then applies a five-step limit-up method to identify candidates expected to reach the daily price limit. The article outlines these conditions and gives a Python example based on market data queries, but does not provide a clear backtest, realized returns, or validation of the limit-up filter.

The author cautions that technical and sentiment signals can miss company fundamentals and that market sentiment changes, which may make the setup unreliable in different conditions. Suggested enhancements include adding profitability and earnings measures, trading-flow information, and liquidity filters. Those additions are recommendations rather than tested parts of the original screen, and the example code's data fields and dates do not establish that it faithfully implements every stated rule.

Key ideas

• The screen combines an amplitude threshold with a turnover and auction-volume ratio band.
• It excludes stocks marked as special treatment and uses a five-step limit-up filter.
• The article supplies example code but no evidence of tested performance.
• The author suggests adding fundamental, sentiment, and liquidity measures.

Tags

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