A-Share Screen Using Amplitude, Turnover, Auction Volume, and Return

Summary

This post proposes screening Chinese stocks for amplitude above 1%, a turnover-based measure between 0.5 and 2, and a positive daily return. The measure is described as yesterday's turnover multiplied by today's auction volume divided by yesterday's volume. The stated aim is to find active stocks with positive price action, combining range, activity, and return conditions. The document also recommends considering fundamentals and valuation, including earnings-related measures, as part of a broader assessment.

The post supplies a formula reference and a Python illustration, but the implementations do not clearly align with the prose: the formula uses different volume and amplitude constructions, and the sample code uses rolling volume averages and shifted daily volumes rather than an explicit auction-volume series. The examples also contain a selection ordering step based on closing price. No backtest or performance results are reported. The author cautions that positive-return filters may encourage chasing and that amplitude and activity measures are imperfect, so the rule requires definition checks and broader risk evaluation.

Key ideas

• The proposed screen combines amplitude above 1%, a turnover-volume ratio, and positive daily return.
• The turnover-volume condition is intended to capture active trading.
• The post recommends considering fundamentals, valuation, and earnings expectations alongside trading measures.
• The formula and Python examples use definitions that differ from the written rule.
• No performance evidence is supplied, and the author warns about chasing price gains.

Tags

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