A Volatility and Auction-Volume Ratio Screen for Chinese Stocks

Summary

This note presents a stock-selection filter using three conditions: daily price amplitude above one percent, observations from 2021, and a measure formed by multiplying the prior day’s turnover rate by the ratio of today’s auction volume to yesterday’s trading volume. That combined measure must fall between 0.5 and 2. The note provides formula-style and Python examples of the conditions.

The rationale is that larger amplitude may indicate greater price movement, while turnover and auction volume may reflect market participation. The document offers no empirical results, sample performance, or comparison with a benchmark. It cautions that volume and turnover are affected by market conditions, and that this short-term screen may miss longer-term trends. It suggests adding valuation measures or using a longer history, but does not test those changes. The stated date restriction also makes the screen specific to a historical period rather than a general current-market rule.

Key ideas

• The screen requires daily amplitude above one percent and restricts observations to 2021.
• It combines prior turnover with the ratio of current auction volume to previous-day volume.
• The combined measure must lie between 0.5 and 2.
• The note treats amplitude and volume as signs of volatility and participation, not direct evidence of value.
• It reports no backtest or investment results.

Tags

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