A-Share Screen Combining Price Highs, Range, Turnover, and Auction Volume

Summary

This post outlines a short-term stock-selection rule using price range, recent highs, turnover, and opening-auction volume. It calls for daily amplitude above one percent, a high matching the maximum across the current and prior session, and a composite measure formed from a turnover-related quantity and the ratio of current auction volume to the previous day’s volume. That product is constrained to lie between 0.5 and 2. The post supplies formula sketches and pseudocode, and describes combining the rule with other screening conditions.

The author notes that the screen omits company and industry fundamentals and that adding many indicators can make a strategy less effective or harder to maintain. Suggested improvements include incorporating fundamental information and consolidating volume and turnover inputs. No backtest, sample definition, execution assumptions, or measured results are offered. The formulas use terms that may not be consistently defined, so the intended meaning and units of turnover and auction volume need validation before implementation.

Key ideas

• The proposed screen combines amplitude, a two-session high condition, turnover, and auction-volume ratio.
• The composite turnover and volume measure is constrained to a stated interval.
• The post recommends adding fundamental and industry context and reducing redundant indicators.
• No empirical performance evidence or execution details are provided.
• The formula descriptions leave some inputs and units unclear.

Tags

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