Chinese Equity Screen Using Price Range, Auction Volume, Turnover, and Trend

Summary

This Chinese-language post outlines a stock selection screen based on recent price movement, trading activity, and a long-term trend filter. It selects shares with amplitude above 1, a product of prior-day turnover and the ratio of current auction volume to prior-day volume between 0.5 and 2, and a prior close above the 250-day moving average. The post interprets these conditions as a way to combine price behavior, market participation, and trend direction.

It also discusses limitations: fixed criteria can miss potential candidates or select stocks that later perform poorly, while volatility, fundamentals, policy changes, and events may undermine the screen. Suggested extensions include adding indicators such as MACD or KDJ, measuring liquidity, and adapting thresholds to market conditions. The post supplies code as a reference, but does not report a backtest, performance statistics, or evidence that the proposed filters improve returns. Its implementation details should therefore be checked against the stated selection rules before use.

Key ideas

• The screen requires price amplitude above 1 and a turnover-adjusted auction-volume ratio between 0.5 and 2.
• It keeps stocks whose prior close is above the 250-day moving average.
• The author presents price range, volume, turnover, and trend as combined signals of market activity and direction.
• The post warns that fixed criteria can miss candidates or select future underperformers.
• Suggested refinements include liquidity analysis, additional indicators, fundamental context, and adapting the rules to market conditions.
• No backtest or performance evidence is reported.

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