A-Share Screen Using Volatility, Recent Limit-Ups, and Auction Turnover

Summary

This A-share stock screen selects for daily price amplitude above 1%, at least one limit-up event in the prior 25 trading days, and prior-day auction turnover above 0.26. The document frames amplitude as a volatility filter, a recent limit-up as evidence of strong price action, and auction turnover as a sign of market interest. It includes sample indicator logic and a Python outline, but the code’s turnover proxy and limit-up conditions do not clearly match the stated auction-turnover and lookback definitions.

The screen relies on trading data and technical conditions without accounting for fundamentals. The author notes that the turnover threshold is subjective and may be locally overfit, and suggests combining the screen with fundamental measures or other market activity data. No backtest or outcome evidence is reported, so the stated links between these conditions and future gains remain unvalidated hypotheses.

Key ideas

• The screen combines amplitude above 1%, a limit-up in the preceding 25 days, and auction turnover above 0.26.
• The proposed rationale treats amplitude as a volatility measure and recent limit-ups as evidence of price strength.
• The document interprets stronger auction turnover as a sign of market interest.
• The turnover threshold may be subjective and susceptible to overfitting.
• The sample code does not clearly implement the stated auction-turnover measure, and no performance evidence is supplied.

Tags

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