Chinese Stock Screen Using Amplitude, Returns, and Auction Volume

Summary

This Chinese-market stock screen combines three filters: daily amplitude above a threshold, a positive but capped ten-day return, and a bounded activity measure. The activity measure multiplies the prior day's turnover rate by the ratio of today's opening-auction volume to the prior day's total volume. The post also includes a reference formula and a Python-style selection example.

The author explains the filters as a way to seek stocks with price movement, moderate recent gains, and trading activity. The post cautions that historical data may not predict future performance and that unusual calendar or trading conditions can distort the calculation. It suggests adding fundamental analysis and more careful filters. No backtest results or performance evidence are provided, so the screen should be treated as a proposed selection heuristic rather than a validated strategy.

Key ideas

• The screen combines daily amplitude, ten-day return, and a turnover-adjusted opening-auction volume measure.
• The return filter aims to identify stocks with positive but limited recent gains.
• The author presents the activity measure as a proxy for stock trading activity.
• Historical inputs and unusual trading calendars can make the screen unreliable.
• The post gives no empirical performance results and recommends additional filters.

Tags

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