Chinese Stock Screen Using Price, Volatility, and Auction Activity

Summary

This article describes a Chinese stock screen built around a price-range condition, a specified share price, and a bounded measure combining the prior day’s turnover rate with current auction volume relative to earlier volume. It presents the screen as a way to find stocks with potential short- to medium-term upward movement and moderate volatility. Formula and Python examples provide possible implementations, and the Python example adds filters involving listing history, market classification, price movement, and moving averages.

The article acknowledges that the screen omits fundamentals and valuation, and that its thresholds may need adjustment as market conditions change. It recommends considering financial data and additional market indicators. It provides no backtest results or evidence of returns. The prose and sample implementations differ in how some conditions are expressed, so the operational definition should be checked before use.

Key ideas

• The screen combines a price-range condition, a fixed share price, and a turnover measure involving auction activity.
• The Python example adds listing, market, price movement, and moving-average filters.
• The article says that fundamentals and valuation are missing from the core screen.
• Thresholds may need adjustment, but no tested adjustment process or performance results are provided.
• The written criteria and code examples are not fully consistent.

Tags

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