A Chinese Stock Screen Using Price Amplitude, Turnover, and Weak Closes

Summary

This document describes a Chinese equity screening rule combining price movement and trading activity. It selects stocks whose amplitude exceeds a stated threshold, whose prior-day turnover multiplied by the ratio of current auction volume to prior-day volume falls within a specified band, and which have a run of consecutive down closes within the recent seven trading days. The stated rationale is to use amplitude and liquidity as technical filters and to interpret recent weakness in light of market mood and capital flows.

The post proposes adding valuation measures, company fundamentals, news analysis, and custom technical factors to make the screen less mechanical. It also cautions that consecutive declines can precede only a temporary rebound and do not establish that a company is undervalued. The supplied Python example is incomplete as an implementation of the stated screen: it checks a sequence of closing prices but does not apply the amplitude, turnover, or auction-volume conditions. No screening performance, backtest results, or evidence of predictive returns is presented.

Key ideas

• The screen combines price amplitude, a turnover and auction-volume ratio, and recent consecutive down closes.
• The rule is framed as a technical filter informed by liquidity and recent market conditions.
• The post recommends considering fundamentals, news, and additional factors to improve stock selection.
• Recent down closes may reflect a temporary move and do not prove that a stock is undervalued.
• The example code omits several of the conditions specified in the screening rule.

Tags

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