Chinese Stock Screen Using Amplitude, Prior Turnover, and Auction Activity

Summary

This Chinese-language article describes an equity screen based on price amplitude, prior-day trading activity, and opening-auction turnover. The stated final rule selects stocks whose amplitude exceeds one, whose prior-day turnover exceeds 60 million, and whose prior auction turnover rate exceeds 0.26. The article links amplitude with volatility, turnover with market activity, and auction turnover with investor interest. It includes an example data workflow that applies lagged filters to historical stock data, though the turnover calculations and field meanings are not fully clarified.

The article warns that abnormal trading or broad market swings can still lead to poor future performance, and that lagged auction turnover may cause the screen to miss rapid advances. It recommends adjusting the auction measure and combining it with other technical or fundamental indicators. No backtest results, portfolio rules, or evidence of predictive performance are reported. The heading refers to a positive auction turnover rate, while the article body and final rule specify a threshold above 0.26, so the body’s more specific condition is the usable definition.

Key ideas

• The screen combines amplitude above one with prior-day turnover above 60 million and auction turnover above 0.26.
• The article interprets amplitude as a measure of price fluctuation and turnover as a measure of activity.
• It warns that lagged auction turnover may miss rapid price advances.
• The article suggests combining the filters with other technical or fundamental measures.
• No backtest results or evidence of predictive performance are given.

Tags

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