A-Share Screen Using Amplitude, Volume Ratio, and a 30-Week Trend Filter

Summary

This document proposes selecting stocks with amplitude above 1%, a specified turnover-to-auction-volume ratio between 0.5 and 2, and a weekly price crossover above the 30-week average. It frames the filters as a combination of price variability, trading activity, and longer-term trend. The article includes a Python example, although parts of its implementation appear to use daily data and a 30-day average rather than the weekly crossover described in the rule.

The document gives no backtest or return evidence. It warns that fixed criteria can miss promising shares or select weak ones, and that market, fundamental, policy, and event changes can undermine the signal. It suggests adding other technical indicators, fundamental and sentiment analysis, and liquidity research. The turnover-volume ratio is described inconsistently across the text and example, so its exact calculation should be clarified before the strategy is evaluated.

Key ideas

• The stated screen combines amplitude above 1%, a turnover and auction-volume ratio from 0.5 to 2, and a weekly crossover above the 30-week average.
• The method aims to combine volatility, trading activity, and longer-term trend information.
• The Python example appears to differ from the stated weekly rule by using daily data and a 30-day average.
• The article reports no backtest or performance evidence and notes that fixed filters can misclassify stocks.
• The ratio's definition is inconsistent, so it needs clarification before implementation or evaluation.

Tags

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