Chinese Stock Screening by Amplitude, Float Market Value, and Auction Amount

Summary

This note describes a Chinese equity screen that requires daily amplitude above 1 and circulating market value above 10 billion yuan, then ranks qualifying stocks by the day’s auction amount and selects the top five. It presents the filters as a way to combine company scale with trading activity. The article also suggests checking fundamentals and industry conditions before making a decision.

The stated risks are that high auction activity can coincide with stocks already trading near a daily high, and that ranking by auction amount may produce unstable selections. The note proposes adding measures such as turnover or trading amount, limiting recent price gains, and considering industry strength. Its sample Python implementation instead ranks by trading amount on a specified historical date, applies additional market and turnover filters, then samples a requested number of stocks. No backtest results or evidence of profitability are provided, and the sample implementation does not exactly match the described auction-based screen.

Key ideas

• The screen filters for amplitude above 1 and circulating market value above 10 billion yuan.
• It selects the five qualifying stocks with the highest auction amount for the day.
• High auction activity may identify stocks that have already risen substantially.
• The article recommends considering fundamentals, industry conditions, and additional liquidity measures.
• The sample implementation adds filters that differ from the headline selection logic.

Tags

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