A Short-Term A-Share Reversal Screen Using Amplitude and Auction Volume

Summary

This document proposes a short-term Chinese stock screen based on amplitude above 1, a prior turnover measure scaled by the ratio of current auction volume to prior volume within a stated range of 0.5 to 2, and a reversal-style price condition. It describes the setup as targeting stocks with notable recent movement that may return toward more stable prices. The article also refers to market capitalization and excludes some securities through additional code checks, though the written strategy description does not fully explain those filters.

The document provides a rationale and sample data-query code, but no backtest or results showing whether the conditions predict profitable reversals. It acknowledges that emphasizing short-term price behavior can miss long-term prospects and that the reversal condition may produce false signals. The example code’s calculations and data fields are not a clear, verified implementation of every stated rule, so the proposed screen would require careful specification and testing before use.

Key ideas

• The proposed screen combines amplitude above 1 with a turnover measure scaled by the auction-to-prior-volume ratio, constrained to 0.5 through 2.
• A reversal-style price condition is intended to identify candidates after recent volatility.
• The document gives no empirical performance evidence for the screen.
• False reversal signals and the narrow short-term focus are stated risks.
• The sample code does not clearly implement every condition described in the strategy.

Tags

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