A Chinese Stock Screen Using Price Range, Auction Volume, and Float Size

Summary

This post describes a Chinese equity screen combining three filters: daily price amplitude above 1, a product of prior-day turnover rate and the ratio of current auction volume to prior-day volume between 0.5 and 2, and circulating market capitalization between 5 billion and 10 billion yuan. It presents the combination as a way to identify stocks with activity and a chosen size range, while cautioning that fixed filters and smaller-company liquidity can limit the results.

The accompanying Python example does not implement the stated screen: it checks circulating capitalization and a seven-session sequence of rising closes, while omitting the amplitude and auction-volume conditions. No backtest, performance figures, or evidence that the proposed filters improve returns are provided. The post suggests adding valuation and other company data, news analysis, and market indicators, but these are suggestions rather than tested refinements.

Key ideas

• The proposed screen combines price amplitude, a turnover and auction-volume ratio, and a circulating market-capitalization band.
• The post flags rigid criteria and limited liquidity in smaller stocks as potential weaknesses.
• Its accompanying example selects for market capitalization and a run of rising closes rather than implementing the full stated screen.
• No backtest or performance evidence is supplied for the selection rules.
• The author suggests adding valuation, news, and market data for broader analysis.

Tags

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