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

Summary

The post proposes a Chinese stock-selection screen combining price movement, trading activity, and company size. Its stated rules require amplitude above 1, a product involving the previous day’s turnover rate and today’s auction volume relative to the prior day’s volume between 0.5 and 2, and market capitalization of at least 200 million. The accompanying explanation says these filters are intended to exclude smaller companies and low-amplitude stocks, while the turnover condition narrows candidates by trading activity.

The post flags a limitation of the size filter: it may exclude smaller firms with growth potential, and reliance on a few indicators can mislead when valuations are distorted. It suggests adding financial measures such as growth or dividend yield and trying alternative thresholds or ranking methods. The example code does not clearly implement the stated auction-volume condition and uses a different turnover calculation; its amplitude threshold may also depend on the precise unit convention. No backtest results, sample definition, or evidence of predictive value are supplied, so the screen remains a proposal rather than a validated strategy.

Key ideas

• The stated screen combines an amplitude threshold, a turnover and auction-volume ratio range, and a minimum market capitalization.
• The author notes that a market-capitalization floor can exclude smaller companies with potential.
• The post suggests adding financial indicators and exploring alternative thresholds or rankings.
• The code’s calculations do not clearly match the stated auction-volume rule, and no performance evidence is given.

Tags

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