A Chinese Stock Screen Using Price Range and Auction Volume

Summary

The document describes a Chinese equity screening rule that combines daily price range, recent turnover, opening auction volume, and price highs. It selects stocks whose amplitude exceeds 1, whose previous-day turnover rate multiplied by the ratio of today’s auction volume to yesterday’s volume falls between 0.5 and 2, and whose high is the highest across the last two days. The accompanying explanation treats range and volume activity as signs of market interest and favors stocks near recent highs.

The article includes a sample Python workflow that applies related price and volume filters, excludes some stocks, and ranks candidates by aggregate money flow. Its code does not cleanly match the stated screen: it uses intraday bars and a rolling turnover calculation, among other differences. No backtest results or performance evidence are supplied. The author notes that the screen omits company fundamentals and may lead to mistaken decisions or excessive trading, and suggests combining it with other technical and fundamental analysis. The thresholds and indicators should therefore be treated as a screening recipe, not evidence of expected returns.

Key ideas

• The screen combines price amplitude with a turnover and auction-volume ratio.
• It also requires the recent two-day high to be reached on the current day.
• The sample code adds intraday price checks and ranks candidates by money flow.
• The document provides no performance results, and its code differs from the stated screening rule.
• The author identifies market dependence and omission of fundamentals as risks.

Tags

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