Chinese Stock Screen Using Reversal Patterns and Auction Volume

Summary

This document describes a Chinese stock selection rule combining daily price movement, a reversal pattern, and trading activity. It selects stocks with an intraday high-to-low range above one percent, a reversal signal, and a threshold condition based on the previous day’s turnover rate and the ratio of current auction volume to prior volume. It also provides example implementations for a charting platform and a Python-based workflow.

The post explains the intended rationale: combine price behavior with recent participation to identify candidates. It warns that these indicators do not measure company fundamentals and may be distorted by individual events, suggesting valuation measures as possible additions. No backtest results, performance evidence, or detailed definitions validating the reversal signal are provided, and the supplied formula examples may not map exactly to the verbal rule. Treat it as a screening concept requiring careful implementation and testing, not evidence of an investment edge.

Key ideas

• The screen requires an intraday high-to-low range greater than one percent.
• It combines a reversal pattern with a condition using prior turnover and auction volume relative to prior volume.
• The stated activity measure must fall between 0.5 and 2.
• The post cautions that trading indicators can miss company fundamentals and react to one-off events.
• No performance results are reported, so the rule’s effectiveness is unestablished.

Tags

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