Chinese Stock Screen Using Amplitude, Turnover, Auction Volume, and Recent Gains

Summary

This Chinese-market stock screen combines price movement, trading activity, and recent price performance. It selects stocks with amplitude above 1 and a specified band for yesterday's turnover rate multiplied by today's opening-auction volume relative to yesterday's volume. It also requires at least one daily gain of 10 percent or more within the preceding 25 trading days. The post describes these filters as a way to find stocks with short-term volatility and a notable recent rise.

The article warns that focusing on short-term measures can neglect longer trends and may favor recently listed or small-cap stocks. It also notes that historical data alone omits broader market conditions, and suggests adding financial and longer-term trend measures before judging candidates. The supplied Python example illustrates data queries, but appears to use market-wide turnover in place of the stated auction-volume ratio, so its implementation may not match the written rule. No backtest results or evidence of predictive performance are provided.

Key ideas

• The screen uses amplitude and a turnover-adjusted opening-auction volume ratio as activity filters.
• It requires at least one daily rise of 10 percent or more during the previous 25 trading days.
• The post cautions that short-term filters can select riskier small-cap or recently listed stocks.
• It recommends adding financial and longer-term trend information to the screening process.
• The sample code's activity calculation may differ from the written screening rule.

Tags

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