Chinese Stock Screen Using Amplitude, Ten-Day Return, and Auction Turnover

Summary

This Chinese stock screen combines three conditions: daily amplitude above 1, a positive ten-day return below 35, and prior-day auction turnover above 0.26. The article frames these as filters for volatility, moderate recent gains, and short-term trading activity. It includes formula and Python examples, along with a suggested ranking by price change or order imbalance, although the central selection rule is the three-condition screen.

The stated limitations are that the approach relies on technical and market-activity measures without fundamental analysis, and auction turnover may not predict longer-term performance. The article suggests adding company fundamentals and other technical indicators and using position controls. It reports no backtest or realized performance evidence. Implementation details also vary: the examples express amplitude and turnover calculations differently, so units and data definitions should be checked before using the thresholds in a live or historical screen.

Key ideas

• The screen requires amplitude above 1, a positive ten-day return below 35, and prior-day auction turnover above 0.26.
• The filters are intended to capture volatility, moderate recent gains, and trading activity.
• Example formula and Python implementations are provided, with additional ranking suggestions.
• The article notes that the screen omits fundamentals and that auction turnover is short term.
• No performance evidence is reported, and indicator definitions differ between examples.

Tags

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