A-Share Screening by Intraday Range, Auction Value, and Prior Turnover
Summary
This note describes a short-term A-share selection rule combining three filters: intraday amplitude above 1, a top-five ranking by today’s opening-auction amount, and prior-day auction turnover above 0.26. It frames the combination as a way to find stocks with recent market attention and provides formula and Python examples as implementation references.
The document offers no backtest, performance evidence, or detailed trading and exit rules. It warns that relying on technical and auction indicators can encourage chasing hot stocks, overlook company fundamentals and broader market conditions, and expose the strategy to risks when prior auction turnover is elevated. It suggests adding fundamental and market context and adjusting the turnover threshold. The examples are presented as references and may require adaptation to the platform and available data.
Key ideas
- The screen requires intraday amplitude above 1.
- Candidates must rank among the top five by current opening-auction amount.
- Prior-day auction turnover must exceed 0.26.
- The note cautions that auction activity alone does not account for fundamentals or broad market conditions.
- It supplies example formulas and code but no performance results or exit rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.