A-Share Screen Using Price Range, Prior Turnover, and Auction Demand
Summary
This document proposes a short-term A-share selection rule based on daily price range, prior trading activity, and current auction demand. It filters for stocks with amplitude above 1, prior-day turnover value above 60 million, and a top-five ranking by today’s auction amount. The accompanying explanation frames price movement and turnover as ways to screen for active names, while the auction ranking is intended to identify stocks attracting current market attention.
The post characterizes the approach as sensitive to market themes and warns that it omits company and industry fundamentals, which may leave the screen vulnerable to following temporary market interest. It suggests adding valuation, earnings, industry, broad-market, or sector information and adjusting the data window and update frequency. Example code is included, but the document reports no test results or evidence that the ranking predicts returns.
Key ideas
- The screen combines a price-amplitude threshold with a minimum prior-day trading value.\nIt ranks candidates by current auction amount and keeps the top five.\nThe approach is framed as a short-term way to focus on actively traded, market-favored stocks.\nThe document warns that the rule omits company and industry fundamentals.\nIt offers no backtest or return evidence for the selection method.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.