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

Summary

This note describes an A-share stock screen combining price movement, a fixed closing price, and prior-day auction turnover. The stated criteria are amplitude above 1%, a close of 18.5 yuan, and auction turnover above 0.26. It presents the screen as a way to capture volatile stocks with a selected price level and active trading. The post also includes formula and Python examples, though the Python implementation uses several data fields and filters whose relationship to the stated screen is not clearly explained.

The author warns that price and turnover filters omit company fundamentals, and that auction turnover can be distorted by speculation. The criteria are narrow and may overlook other relevant factors. Suggested refinements include adding valuation and revenue measures, technical indicators, and broader activity measures such as average turnover or volume. No backtest results or performance evidence are provided, so the screen should be understood as a proposed selection rule rather than a validated strategy.

Key ideas

• The screen combines amplitude above 1%, a closing price of 18.5 yuan, and prior-day auction turnover above 0.26.
• The post frames amplitude as a volatility measure and auction turnover as a measure of trading activity.
• Price and turnover filters alone leave company fundamentals and other market conditions unexamined.
• Speculative activity may make auction turnover an unstable selection signal.
• The document gives no performance results to validate the screen.

Tags

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