A Chinese Stock Screen Using Amplitude, Auction Volume, and Moving Averages

Summary

This Chinese stock-selection post combines a daily amplitude threshold with a ratio involving the previous day’s turnover and the current opening-auction volume relative to the prior day’s volume. It also describes selecting stocks when three moving averages, exemplified by the five-, ten-, and twenty-day averages, have simultaneous golden crosses. The accompanying Python example adds market-capitalization bounds and excludes stock codes containing an ST marker, then checks amplitude, a volume-related filter, and moving-average alignment.

The post gives no backtest results or evidence that the screen is profitable. Its written description and code are not fully aligned: the prose specifies a turnover-and-auction-volume ratio and simultaneous crosses, while the implementation uses a differently constructed volume-rate field and checks that the averages are ordered. The author flags the technical-only approach as vulnerable to macroeconomic, company, policy, and event risks, and suggests adding financial measures, market sentiment, liquidity research, and adaptive thresholds. These suggestions are not validated in the document.

Key ideas

• The proposed screen combines price amplitude, turnover and auction-volume information, and moving-average conditions.
• The example code also applies market-capitalization bounds and excludes stocks whose codes contain an ST marker.
• The code’s volume calculation and moving-average condition differ from the strategy description.
• No performance evidence is supplied, and the post identifies fundamental and market risks.

Tags

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