Chinese Stock Screen Using Auction Turnover, Price Range, and a 250-Day Average

Summary

This note presents a Chinese equity selection rule that combines a daily price range greater than one, a top-five ranking by the day’s auction amount, and a prior closing price above the 250-day moving average. The stated rationale is to focus on active shares attracting early-session capital while using the long moving average as a broad trend filter. The article includes indicator references and sample code intended to illustrate selection.

The author warns that this approach depends heavily on technical and auction data, omits company fundamentals, and may be affected by volatile auction amounts or data errors. Suggested improvements include adding fundamental measures, considering investor or capital-flow information, and monitoring data quality. The document provides no backtest or return evidence, so its claim that the trend and activity filters may identify stronger candidates remains a hypothesis. The sample implementation also contains unclear or platform-specific fields, meaning the conditions and timing would need to be reconciled against the actual data source before the screen could be reproduced reliably.

Key ideas

• The screen requires a price range above one and a top-five auction-amount rank.
• It adds a prior close above the 250-day moving average as a trend filter.
• Auction activity is treated as a proxy for market interest.
• The author identifies omitted fundamentals and unstable or erroneous data as risks.
• No performance test is supplied, and the sample data logic may require clarification.

Tags

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