A-Share Screen Using Amplitude, Auction Volume, Turnover, and Institutional Flow

Summary

This post describes a Chinese stock selection screen combining daily amplitude above one, positive institutional flow, and a ratio formed from prior turnover and the current auction volume relative to prior volume. It gives the intended ratio range as 0.5 to 2 and describes the screen as seeking stocks with active trading and institutional interest. The accompanying Python example attempts to retrieve stock and daily market data, filter by market capitalization, calculate amplitude and a proxy for institutional buying, then apply a volume-related condition.

The author acknowledges that fixed thresholds can miss candidates or admit weak stocks, and that market, company, policy, and event changes can undermine the screen. Suggested refinements include adding indicators, studying liquidity, and adjusting conditions to market regimes. The post provides no backtest, performance figures, or evidence that the code implements the stated formula correctly; several calculations and data-field uses appear difficult to reconcile with the written selection logic. Treat it as a screening idea requiring careful definition and validation.

Key ideas

• The proposed screen combines amplitude, institutional flow, and auction-volume activity.
• The stated volume-related ratio is constrained to a range from 0.5 to 2.
• The example also imposes market-capitalization filters and excludes stocks marked as ST.
• The author recommends adding indicators, liquidity analysis, and adaptive thresholds.
• No performance test is provided, and the sample code may not match the prose precisely.

Tags

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