A-Share Screen Using Price Declines, Amplitude, Turnover, and Auction Volume

Summary

This post describes a short-term A-share stock screen combining price movement and trading activity. It selects stocks with amplitude above one, a turnover-rate measure adjusted by the ratio of current auction volume to prior-day volume within a stated range, and three consecutive daily closes below their preceding closes. The rationale is to find volatile, actively traded stocks in a falling short-term trend, with the hope of identifying an entry opportunity.

The post warns that recent declines may continue and that a short-term screen can miss longer-term prospects. It recommends adding fundamental measures and company news, while recognizing that three falling sessions alone do not establish value. The example code uses market-data queries and volume-based calculations, but its calculations do not transparently match every condition in the written rule. No backtest, sample, or return evidence is supplied, so the screen’s effectiveness and implementation details remain unverified.

Key ideas

• The screen combines an amplitude threshold, an adjusted turnover measure, and three consecutive lower closes.
• The rationale treats recent declines and trading activity as potential screening signals.
• The author cautions that a falling short-term trend can continue and may omit longer-term factors.
• Fundamental data and company events are suggested as additional inputs.
• The example code and written conditions require reconciliation, and no performance evidence is given.

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