A Stock Screen Using Daily Range, Turnover, Auction Volume, and Price

Summary

The post describes a Chinese stock-selection screen based on daily amplitude above 1, a turnover-based measure between 0.5 and 2 that combines the prior day's turnover with the current auction volume relative to the prior day's volume, and a stated price condition of 18.5. It suggests that the filters may identify active stocks during periods of market interest. The article also includes an indicator reference and a Python example, though their calculations do not consistently match the prose description.

The author cautions that the screen uses technical criteria and omits fundamentals and other factors. A fixed price filter may exclude stocks that become active at different prices; suggested refinements include market capitalization, sector, and valuation measures. No backtest results or evidence of predictive performance are provided, and the exact final price range is left unspecified, so the rules require clarification before they can be reproduced reliably.

Key ideas

• The stated screen combines daily amplitude, a turnover and auction-volume ratio, and a stock-price condition.
• The article's prose, indicator reference, and Python example do not fully agree on the calculations.
• The author notes that technical-only filters omit fundamentals and may miss stocks outside the price constraint.
• No performance evaluation is provided, and the final price range is not precisely defined.

Tags

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