A-Share Stock Screen Using Price, Amplitude, and Auction Turnover

Summary

The document describes an A-share stock selection rule based on daily price amplitude, a closing price around 18.5 yuan, and ranking among the top five by auction amount. It frames larger price movement as a volatility filter and auction turnover as a liquidity and activity filter. It includes formula and Python examples, though the Python example's data retrieval and filtering do not clearly implement all stated conditions consistently.

The post cautions that an emphasis on short-term trading activity may overlook long-term value and that auction amounts can reflect speculation. It suggests adding fundamental and valuation measures or changing the ranking criteria. No backtest results or evidence of performance are supplied, so the selection rationale remains a proposed heuristic rather than a validated strategy.

Key ideas

• The proposed screen combines price amplitude, a target share price, and auction amount ranking.
• Auction turnover is used as a proxy for activity and liquidity.
• Short-term turnover can be driven by speculative sentiment and may not reflect fundamental value.
• The examples do not provide performance evidence, and the Python implementation may not match the full stated rule.

Tags

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