A-Share Screening with Range, Auction Volume, Turnover, and Return Filters

Summary

This document describes a Chinese stock screening rule that combines daily price movement with trading activity. It selects shares whose amplitude exceeds 1, whose prior-day turnover rate multiplied by the ratio of current auction volume to prior-day volume falls between 0.5 and 2, and whose return lies between -5% and 2.6%. The accompanying Python example also filters by circulating market value and excludes stocks identified as ST.

The rationale is that price range and return capture market movement, while turnover and volume ratios reflect trading activity and sentiment. The document offers no backtest results or performance evidence, and its code does not clearly implement every stated condition consistently. It cautions that fixed thresholds can miss promising shares or select poor performers, and that market, company, policy, and event changes can undermine the screen. It suggests adding valuation, leverage, profitability, and liquidity measures, but provides no tested specification for those additions.

Key ideas

• The screen requires amplitude above 1 and a turnover-volume product between 0.5 and 2.
• It also limits returns to the range from -5% to 2.6%.
• The example code adds exclusions and circulating market value filters beyond the stated core rule.
• No historical performance evidence is supplied, and the fixed thresholds may fail under changing conditions.
• Possible extensions include valuation, leverage, profitability, and liquidity factors.

Tags

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