A-Share Stock Screen Using Intraday Range, Auction Volume, and Rising Averages

Summary

This Chinese stock-selection proposal screens for shares with an amplitude above 1, a ratio between 0.5 and 2 formed from the prior day’s turnover rate and today’s auction volume relative to the prior day’s volume, and upward-diverging moving averages. Its rationale is to focus on active, volatile stocks with signs of short-term strength. The article also sketches implementation using market data and moving-average comparisons.

The author warns that high volatility and liquidity do not guarantee continued gains, and that short-term sentiment can affect moving-average signals. The article offers no backtest, candidate list, or measured returns, so its claims about potential are unverified. The code and formula references also leave details such as data timing, units, and exact auction-volume handling unclear. Suggested additions include industry-aware filters and further technical or fundamental measures, but these are proposals rather than tested improvements.

Key ideas

• The screen combines a minimum amplitude condition with a bounded turnover and auction-volume ratio.
• It also requires short moving averages to diverge upward as a sign of short-term strength.
• The rationale emphasizes trading activity and volatility, while acknowledging reversal and sentiment risks.
• No backtest or performance statistics are provided, and implementation details may need clarification.

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