Chinese Stock Screen Using Auction Activity and Moving Average Trend

Summary

This Chinese equity screen combines amplitude above 1 with a top-five ranking by the day’s auction amount and a 20-day moving average above the 120-day moving average. The final stated selection logic also requires the previous day’s return to be positive. The author presents amplitude and auction activity as signs of active trading, while the moving-average comparison is used as a broad upward-trend filter. The document includes indicator expressions and a Python sketch, but reports no backtest or return evidence.

The stated risks are that the screen ignores company fundamentals, industry conditions, and other measures of financial quality. The author suggests adding sector and financial filters, including return on equity, and conducting further review of candidates. The implementation examples are incomplete or inconsistent: the initial description omits the prior-day return condition that appears in the final logic, and the sample code mixes platform-style expressions with data fields whose availability and meaning are not established. Its ranking and auction data definitions should be verified before use.

Key ideas

• The proposed screen selects stocks with amplitude above 1 and ranks them by current auction amount, keeping the top five.
• It uses a 20-day average above the 120-day average as a trend filter.
• The final logic adds a positive prior-day return condition that is absent from the initial summary.
• No performance evidence is provided, and the screen omits fundamental and industry analysis.
• The auction ranking and sample data fields require validation before implementation.

Tags

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