A Chinese Stock Screen Using Amplitude, Turnover, and Auction Volume

Summary

This Chinese-language post proposes a stock selection rule based on price amplitude, prior-day turnover, and the ratio of current auction volume to the previous day’s volume. It selects shares whose amplitude exceeds one and whose prior turnover multiplied by that volume ratio lies between 0.5 and 2, while excluding stocks that hit the prior day’s limit-up threshold. The post frames these conditions as a way to capture market activity and short-term sentiment.

It provides formula references and sample code, but no backtest results or evidence that the screen produces profitable trades. The post itself flags key limitations: the rules are narrow, may select stocks already at elevated prices, and emphasize short-term movement without assessing company fundamentals. It suggests adding trend support, moving-average direction, fundamental measures, and industry context. The sample implementation’s data fields and filtering details do not cleanly match the stated auction-volume rule, so the proposed logic should be checked carefully before use.

Key ideas

• The screen combines price amplitude with prior turnover and an auction-volume ratio.
• It excludes stocks whose previous session rose beyond the stated limit-up threshold.
• The post provides implementation references but no performance evidence.
• The author identifies narrow selection criteria and limited fundamental analysis as risks.
• Trend, moving-average, company, and industry information are suggested as additional filters.

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