A-Share Screening by Amplitude, Turnover, and Auction Amount Rank

Summary

This note describes a daily A-share selection rule using price amplitude of at least 1, turnover between 2% and 9%, and a ranking by today’s auction amount, with the top five stocks selected. Its stated aim is to combine a measure of price movement with turnover and auction activity as indicators of liquidity and volatility. The document provides a formula reference for the amplitude and turnover filters, plus a ranking condition based on auction amount.

The Python example attempts to estimate auction amount and rank candidates, but its data fields and calculations are not shown to have been validated against the stated rule. The note provides no backtest or realized results. It cautions that focusing on auction amount can overlook fundamentals, policy effects, market conditions, and sector rotation, and it acknowledges the absence of a risk-control rule. It suggests adding liquidity and fundamental measures, using dynamic exits, and considering sector conditions. These are suggestions rather than tested improvements, so the screen is best understood as a simple candidate-selection heuristic.

Key ideas

• The screen requires amplitude of at least 1 and turnover between 2% and 9%.
• Candidates are ranked by the day’s auction amount, with the top five selected.
• The note supplies formula and Python references, but does not validate their calculations against the stated rule.
• The author warns that auction activity alone overlooks fundamentals, policy, sector rotation, and market conditions.
• No backtest or risk-adjusted performance evidence is provided.

Tags

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