A-Share Screening with Amplitude and Auction-to-Prior-Volume Activity

Summary

This A-share stock screen requires daily amplitude above 1%, excludes STAR Market stocks, and selects for a value between 0.5 and 2 when the previous day’s turnover rate is multiplied by the ratio of current auction volume to the previous day’s volume. The article presents the combined price and volume conditions as a way to find stocks with notable activity. It suggests adding indicators such as moving averages or MACD, alongside company fundamentals and market context.

The article offers no performance data, entry or exit rules, or position-sizing method. It acknowledges that relying only on price and volume leaves out balance-sheet and broader market conditions, and that the lack of industry screening can create portfolio concentration risk. The accompanying Python example does not clearly implement the stated auction-volume ratio: it uses daily amount and data fields whose units and definitions are not reconciled with the written rule. The screen should therefore be treated as a proposed heuristic, not a validated strategy.

Key ideas

• The screen combines amplitude above 1% with a turnover-weighted auction-volume ratio between 0.5 and 2.\nIt excludes STAR Market stocks.\nThe article proposes adding technical indicators, fundamentals, and market context.\nIt warns that price and volume alone omit important company and market risks.\nThe provided example does not clearly match the written auction-volume calculation, and no performance evidence is shown.

Tags

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