Chinese Stock Screen Using Price Range and Auction Turnover

Summary

The document describes a Chinese equity screen that selects stocks with an amplitude above 1, ranks them by the day’s auction turnover, keeps the top five, and applies a specified share price of 18.5 yuan. It also gives example indicator and Python snippets, though the code has inconsistencies: the written condition refers to amplitude while the Python example checks positive trading amount, and the price differs from the title’s stated value of 18 yuan.

The author warns that relying on price and amplitude alone does not assess company quality, and that greater amplitude can mean greater risk. Suggested refinements include adding financial and technical measures such as valuation, return on equity, and RSI, comparing price and market capitalization with industry averages, and applying risk controls. The document supplies no performance evidence or backtest results, so it presents a screening idea rather than a validated strategy. The ranking and data fields would also need to be checked against the chosen platform’s definitions before use.

Key ideas

• The proposed screen filters for amplitude above 1 and ranks stocks by auction turnover.
• It selects the top five ranked stocks and specifies a share price of 18.5 yuan.
• The example code does not consistently implement the stated amplitude condition.
• The author recommends adding company fundamentals, technical indicators, industry comparisons, and risk controls.
• No backtest evidence is provided to establish the screen’s performance.

Tags

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