A Chinese Stock Screen Using Range, Turnover, and Early Price Change

Summary

The document presents an intraday stock-selection screen for Chinese equities. It selects stocks with an amplitude above 1, a product of prior-day turnover and the ratio of current auction volume to prior-day volume between 0.5 and 2, and a price rise below 6% from the 9:25 auction reference through the first 30 minutes of trading. The stated aim is to find active stocks while limiting sharp early moves.

The article describes the timing-sensitive price filter as potentially unstable and acknowledges that the thresholds may miss other relevant trends. It suggests adding fundamental checks or technical indicators, but gives no backtest results or evidence that the screen improves returns. Its code examples use different volume and price calculations from the stated selection logic, so implementation details require careful reconciliation before use.

Key ideas

• The screen combines price amplitude, a turnover-adjusted auction-volume ratio, and an early-session price-change cap.
• The stated auction-volume ratio must fall between 0.5 and 2.
• The early-session rise must be below 6% under the article’s stated logic.
• The article flags unstable intraday prices and omitted trends as risks.
• The accompanying code does not fully match the written screening conditions.

Tags

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