A-Share Screen Using Price Range, Turnover, and Auction Volume

Summary

This Chinese-market equity screen selects stocks with a minimum price amplitude, a bounded product of prior turnover and a current-to-prior volume measure, and more than a year since listing. The article explains the approach as a technical screen focused on trading activity and price fluctuation. Its Python example calculates amplitude, turnover, and a volume ratio from weekly data, then applies thresholds to identify candidates.

The author notes that the screen omits company fundamentals and may therefore select financially risky firms; technical measures can also respond strongly to short-term sentiment. A longer listing-history requirement may exclude newer growth companies. The article suggests adding further technical, fundamental, and industry-relative measures and periodically testing the selection rules. It provides no reported returns, benchmark, or validation results, and the example’s rolling-volume proxy may not precisely represent the stated opening-auction volume condition. The screen should therefore be treated as a candidate-generation rule, not demonstrated evidence of an investable edge.

Key ideas

• The screen requires price amplitude above a threshold and a bounded turnover-volume product.
• It excludes recently listed stocks by requiring more than a year of trading history.
• The article warns that technical-only selection overlooks company fundamentals and can be sentiment-sensitive.
• The Python example approximates the stated volume condition with a rolling-volume measure.
• No backtest performance or evidence of predictive value is reported.

Tags

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