A-Share Screening by Intraday Range, Auction Volume, and Limit-Ups

Summary

This proposed A-share stock screen combines a daily amplitude threshold above 1, a ratio formed from yesterday’s turnover rate and today’s auction volume relative to yesterday’s volume between 0.5 and 2, and at least two limit-up days within the past 500 trading days. The article frames these conditions as ways to find volatile, active stocks that have attracted market attention. It suggests adding technical and fundamental measures to assess candidates more broadly.

The post offers an explanation of the rationale and lists risks, including high volatility, sentiment-driven trading, and differences across industries. It includes a Python sketch, but the implementation does not clearly match the described auction-volume ratio and appears to use daily volume and a turnover calculation instead. No performance results or validation are presented, so the screen should be treated as a proposed selection rule rather than demonstrated evidence of predictive value.

Key ideas

• The proposed screen combines a daily amplitude threshold, a volume and turnover ratio, and historical limit-up frequency.
• The stated ratio range is 0.5 to 2, and the history filter requires at least two limit-up days in 500 trading days.
• The rationale relies on volatility, activity, and market attention as candidate signals.
• The article flags sentiment risk and the need to adapt parameters across industries.
• The code sketch does not clearly implement the described auction-volume condition, 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.