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

Summary

This post describes a Chinese equity screening idea combining daily price amplitude, a share price below a stated threshold, and a ratio based on the previous day’s turnover and the current auction volume relative to the previous day’s volume. The proposed ratio must fall within a specified band. The author presents these filters as a way to find stocks with stronger short-term movement and changing trading interest.

The post gives formula and Python examples, but their calculations do not consistently match the prose description, so implementation details need independent checking. It reports no backtest, returns, or sample results. The screen omits company fundamentals and macroeconomic conditions, and the author notes that auction volume can be noisy. Suggested additions include fundamental measures, other indicators, and explicit stop-loss and risk controls; no evidence is supplied that these changes improve performance.

Key ideas

• The screen combines amplitude, a low share-price cutoff, and a turnover-weighted auction-volume ratio.
• The author interprets amplitude as a measure of volatility and the volume ratio as a signal of changing market interest.
• The prose, formula, and Python example appear inconsistent, so the conditions require verification before use.
• The post warns that the screen omits fundamentals and macroeconomic factors and that auction volume may be unreliable.
• It recommends adding other indicators and risk controls but provides no performance evidence.

Tags

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