A Chinese Stock Screen Using Auction Volume and Turnover Filters

Summary

This post describes a Chinese A-share screening idea based on intraday amplitude, a ratio combining the prior day’s turnover with current auction volume relative to prior volume, and an earlier session’s actual turnover range. It presents the intended ratio band as 0.5 to 2 and the turnover range as 3% to 28%, aiming to select stocks with recent activity and auction participation. The discussion connects these filters with technical conditions and market sentiment.

The article also offers a Python example that introduces market-capitalization, price-limit, and recent-return filters, so the code does not directly match the verbal selection rule. It flags fixed thresholds, short historical framing, and exposure to market, policy, event, and fundamental changes as limitations, and suggests combining volume signals with other indicators and fundamental context. No backtest or performance evidence is provided, and the formula and implementation would need reconciliation before evaluation.

Key ideas

• The stated screen combines amplitude with auction-volume and recent-turnover conditions.
• The target ratio is described as ranging from 0.5 to 2, with prior actual turnover between 3% and 28%.
• The Python example adds filters that differ from the verbal rule, so the specification is ambiguous.
• Fixed technical thresholds may miss candidates and can become unreliable as market conditions change.
• The post provides no tested performance results and recommends broader analysis.

Tags

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