Chinese Stock Screen Using Amplitude, Auction Volume, and Rising DEA

Summary

The proposed Chinese stock screen selects shares with amplitude above one, a prior turnover rate multiplied by the ratio of current auction volume to prior volume between 0.5 and 2, and a rising DEA value. The article frames these conditions as a way to combine price movement, trading activity, and a trend indicator. Its reference formula describes DEA as a smoothed series based on DIF, and the sample Python outline adds filters involving recent highs, an intraday price range, volume data, and positive money flow before ranking candidates.

The article warns that market conditions can diverge from expectations and that the screen does not fully account for company fundamentals. It suggests combining technical measures with fundamental information, but provides no backtest results or evidence for the stated growth or return potential. The written screening rule and code outline also differ in their details, and the supplied formulas are not fully clear. The method should therefore be treated as a screening proposal requiring data validation and risk controls, not as a demonstrated strategy.

Key ideas

• The stated screen combines an amplitude threshold, a turnover and auction-volume ratio band, and rising DEA.
• The article's code outline adds recent-high, intraday-range, volume, and money-flow filters.
• DEA is presented as a smoothed indicator derived from DIF.
• The document flags market and fundamental risks but supplies no performance evidence.
• The prose and code describe some screening details differently.

Tags

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