A-Share Screen for High Amplitude, Top Auction Value, and Large Float Cap

Summary

This A-share screen selects stocks with amplitude above 1, ranks them by today’s auction trading value, keeps the top five, and requires circulating market capitalization above 10 billion yuan. The post frames the filters as a way to find volatile, actively traded names while focusing on larger companies. It offers formula and Python examples, although the examples appear to use inconsistent measures and thresholds, so they should not be assumed to implement the stated screen faithfully.

The article cautions that the rule relies on market and liquidity measures while omitting security quality and company fundamentals; short-term sentiment may also cause outcomes to diverge from expectations. It suggests adding financial or technical measures and tuning the market-cap threshold to conditions. No backtest, trade timing, exit rule, costs, or performance results are provided. Auction-value ranking and amplitude definitions may vary by data provider, so the inputs and units require verification before evaluating or using the screen.

Key ideas

• The screen combines amplitude above 1, a top-five ranking by auction value, and float capitalization above 10 billion yuan.
• The proposed rationale is to focus on active, volatile shares with larger market capitalization.
• The post warns that the screen omits company quality and can be affected by market sentiment.
• The sample code and stated selection rule contain apparent inconsistencies that require checking.
• No test results or complete trading and exit rules are reported.

Tags

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