A Chinese Stock Screen Using Amplitude, K-Line, and Auction Turnover

Summary

This Chinese equity screening note describes a rules-based selection approach using amplitude above 1, a K-line condition below 20, and prior-day auction turnover above 0.26. It frames the filters as combining price movement, a purported oversold signal, and trading activity to identify stocks with potential speculative inflows.

The post also gives indicator-based formula and Python examples involving moving averages, MACD, a PBX measure, and prior-day turnover. However, the examples do not map cleanly onto the stated screen: conditions such as close versus volume averages and yesterday’s turnover replace or reinterpret parts of the headline rules. The document offers no performance results or validation. It warns that market conditions can change indicator effectiveness and that focusing on trading activity may neglect company fundamentals; it suggests adding valuation and dividend measures and periodically reassessing parameters.

Key ideas

• The stated screen combines amplitude, a K-line threshold, and prior-day auction turnover.
• The explanation interprets the filters as price volatility, an oversold condition, and market activity.
• The supplied formula and Python examples use additional moving-average and MACD conditions that differ from the headline screen.
• The post provides no backtest evidence and cautions that indicator performance may depend on market conditions.

Tags

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