A Chinese Stock Screen Using Amplitude, Auction Volume, and Control Data

Summary

This article outlines a Chinese equity screen requiring daily price amplitude above 1, a ratio formed from the prior day’s turnover and today’s auction volume relative to prior volume between 0.5 and 2, and a control measure above 21. The article describes these inputs as proxies for short-term volatility, liquidity, and institutional buying pressure. It provides indicator definitions and a Python example intended to select listed stocks using market data.

The screen is presented as a candidate-selection idea, not a tested strategy: no backtest, portfolio construction, or realized returns are reported. The author warns that the approach emphasizes technical inputs, may omit fundamentals, and depends on potentially inaccurate control data. The example code’s data fields and calculations should be checked against the verbal criteria before relying on it; the document itself offers no validation of those implementation details or proof that its filters identify future winners.

Key ideas

• The screen combines an amplitude threshold, a turnover and auction-volume ratio range, and a control-data threshold.
• The article treats the inputs as rough measures of volatility, liquidity, and institutional buying pressure.
• It includes formula definitions and a Python selection example.
• No backtest or return evidence is supplied.
• The article flags omitted fundamentals, uncertain control data, and limited indicators as risks.

Tags

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