A-Share Screen Using Price Range, Ten-Day Return, and Auction Move

Summary

This post describes an A-share screen combining an intraday amplitude above 1%, a positive ten-day return below 35%, and an auction gain between -2% and 5%. It frames the amplitude as a measure of movement, the return band as a way to avoid both declining and sharply advanced stocks, and the auction change as an indicator of market attention and liquidity. Its sample Python logic also filters for a stated circulating-market-value band and sorts by a large-order flow measure, adding conditions beyond the headline screen.

The author notes that auction changes move quickly and can make signals lag, and that market conditions or sudden events may weaken indicator usefulness. The post suggests adding technical and fundamental measures or using machine learning, but supplies no test results or evidence of profitability. The code is illustrative rather than a validated strategy, and the mismatch between the headline rules and extra code filters means implementation details would need checking before use.

Key ideas

• The headline screen uses amplitude above 1%, a positive ten-day return below 35%, and an auction gain between -2% and 5%.
• The sample code also filters by circulating market value and ranks stocks by a large-order flow measure.
• The post interprets these filters as capturing movement, moderate recent gains, and auction activity.
• It warns that auction signals can change quickly and that market events can affect indicator reliability.
• No backtest or profitability evidence is reported.

Tags

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