Chinese Stock Screen for Volatility, Auction Value, and Five-Day Trend

Summary

This Chinese equity screening proposal combines a daily amplitude threshold above 1, a top-five rank by the day’s auction amount, and a closing price above its five-day moving average. It interprets large amplitude and strong auction activity as signs of active trading, while the moving-average condition is intended to select stocks showing short-term upward momentum. The article also offers formula and Python examples, but does not provide backtest results or evidence that the screen is profitable.

The author warns that the rules emphasize technical conditions and may miss company fundamentals; a price above the five-day average can also reflect only a brief rebound. Suggested refinements include evaluating profitability and industry position and using a longer moving average to assess the broader trend. The proposal is a screening concept rather than a fully specified trading system: it gives no entry, exit, or risk rules, and the code example’s data and indicator definitions are not fully explained.

Key ideas

• The screen combines amplitude above 1, top-five auction amount ranking, and price above the five-day moving average.
• High amplitude and auction activity are treated as signs of active trading.
• The moving-average condition may capture a short rebound rather than a durable trend.
• The author recommends adding company fundamentals and a longer moving average.
• The document supplies no performance evidence or complete trade-management rules.

Tags

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