Chinese Stock Screen Using Price Range, Turnover, and Auction Volume

Summary

This stock-selection rule combines a price-range filter with turnover and volume conditions. It targets shares with an amplitude above 1, a turnover-adjusted ratio of yesterday’s turnover rate to today’s auction volume relative to yesterday’s volume between 0.5 and 2, and a turnover rate between 3% and 12%. The accompanying explanation frames the filters as a way to focus on price and trading activity while limiting candidates with very high or low turnover.

The post includes a Python example intended to select stocks from a Chinese market data service, but the code’s field references and calculations do not cleanly match the stated rule, so the implementation should not be assumed to reproduce it. No backtest or performance evidence is provided. The author notes that the screen omits company fundamentals and remains exposed to market and policy risk, and suggests combining it with fundamental analysis and explicit capital and risk management.

Key ideas

• The screen combines a price-amplitude condition with turnover and auction-volume ratios.
• It sets turnover-rate bounds of 3% to 12% and a turnover-adjusted ratio range of 0.5 to 2.
• The example code is provided without backtest evidence and may not precisely implement the stated conditions.
• The rule relies on price and volume measures and omits company fundamentals.
• The post recommends considering position sizing and risk controls when using the screen.

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