Chinese Stock Screening by Intraday Range, Auction Volume, and Industry

Summary

This Chinese A-share screening idea combines a price-range condition with a volume and turnover measure. It selects stocks whose amplitude exceeds 1 and whose previous-day turnover multiplied by today’s auction volume divided by yesterday’s volume falls between 0.5 and 2. It further restricts candidates to the beverage and alcohol import-export industry. The accompanying discussion presents this as a way to combine price activity, trading interest, and industry characteristics; it supplies no backtest or performance evidence.

The post flags market changes, incomplete coverage of company fundamentals, and the narrow industry filter as limitations. It suggests adding valuation measures such as price-to-earnings and price-to-book ratios, alongside fundamental and industry analysis. The sample implementation includes additional filters and calculations that do not precisely match the stated screening rule, so its operational details should be checked before use. The document gives a screening concept, not a validated investment strategy or evidence of returns.

Key ideas

• The screen requires amplitude above 1 and a turnover-adjusted auction-volume ratio between 0.5 and 2.
• It limits eligible stocks to the beverage and alcohol import-export industry.
• The rationale combines price activity, trading volume, and industry selection, but no performance evidence is provided.
• The post recommends supplementing the screen with valuation and fundamental analysis.
• Its sample code differs from parts of the written rule and requires verification.

Tags

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