Chinese Stock Screening by Price Amplitude, Exchange Code, and Auction Turnover

Summary

This document describes a Chinese equity screen requiring daily amplitude above 1%, a stock code beginning with 60, and prior-day auction turnover above 0.26%. The criteria are intended to identify more volatile, actively traded stocks from a particular group of listings. The post includes example logic for applying the conditions and briefly explains the role of each filter.

It provides no backtest, performance evidence, or details about how the screen would be traded. The accompanying risk discussion warns that short-term indicators can overlook company fundamentals, that focusing on stocks at relatively high prices may miss rebounds from lower levels, and that high auction turnover may reflect speculation rather than quality. Suggested refinements include adding financial and operational factors, examining technical indicators across different time periods, and combining several types of evidence. The filter is a stock-selection rule, not a complete strategy with portfolio, entry, exit, or risk-management rules.

Key ideas

• The screen combines amplitude above 1%, a stock code prefix of 60, and prior-day auction turnover above 0.26%.
• The conditions target volatile and actively traded stocks within a specific listing group.
• The document cautions that auction turnover can reflect speculative activity.
• It recommends considering company fundamentals and indicators across multiple time periods.
• No performance test or full trading framework is supplied.

Tags

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