A Stock Screen Combining Price Range, Auction Activity, and Positive Returns

Summary

The post describes a short-term Chinese stock screen that seeks shares with an amplitude measure above a threshold, ranks them by the day’s auction amount, keeps the top five, and requires a positive return. Its stated rationale is to focus on active, higher-volatility shares showing positive price performance. It also suggests adding company financial measures, industry analysis, market capitalization, and valuation constraints, and extending the holding period to reduce turnover and transaction costs.

The article supplies example formula and Python references, but the presented implementation does not clearly match the stated screen: the code checks positive traded amount rather than the amplitude condition, and its auction ranking expression is not implemented as a usable calculation. It provides no backtest or performance evidence. The screen also omits a defined entry time, exit rule, portfolio sizing, and treatment of costs, so the post’s claims about stability or profitability are unsupported by the supplied material.

Key ideas

• The proposed screen selects stocks by amplitude, auction-amount rank, and positive return.
• The post suggests adding financial, industry, size, and valuation filters to broaden the assessment.
• It identifies high turnover and transaction costs as risks of a short-term screen.
• The sample implementation does not clearly implement all of the stated selection conditions.
• No backtest, exit rule, or portfolio-sizing method is provided.

Tags

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