A-Share Auction Screen Using Volatility, Turnover Ranking, and Bid Depth

Summary

This note presents a short-term Chinese stock selection rule combining three signals: intraday amplitude greater than 1, a top-five ranking by the day’s auction amount, and first-level bid volume exceeding first-level ask volume. The rule is intended to capture volatile, actively traded stocks where visible order-book demand appears stronger than supply. The document also gives formula and Python examples, though these are references rather than documented test results.

The stated caveats are that the screen is speculative and can overlook company fundamentals. A larger best-bid queue may reflect temporary sentiment rather than lasting business strength. The note recommends adding valuation or company data and considering fit with an investor’s broader approach. It provides no backtest, sample period, execution assumptions, or evidence that the three conditions predict returns; auction rankings and displayed depth may also be time-sensitive inputs.

Key ideas

• The screen requires amplitude above 1 and a top-five auction-amount ranking.
• It also requires best-bid volume to exceed best-ask volume.
• The note treats auction activity and order-book imbalance as short-term opportunity signals.
• It warns that visible buying interest can be temporary and recommends considering fundamentals.

Tags

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