Chinese Stock Screening with Amplitude and Auction Turnover Filters

Summary

This post presents a Chinese equity screen based on price amplitude above 1%, excluding Beijing-listed shares, and auction turnover above 0.26%. Its proposed refinement also filters for prices within 2% of a 60-day moving average and adds positive valuation ratios with percentile-based selection. The indicator formula and Python sketch do not align fully with the prose: the formula's region condition appears to retain Beijing stocks, while the text calls for excluding them; the turnover threshold is also represented on a different scale in the formula.

The author frames amplitude and auction turnover as measures of movement and activity, but warns that abnormal auction activity, short-term reversals, and omitted fundamentals may produce poor selections. Suggested improvements include financial and industry analysis, outlier filtering, and stop-loss or take-profit controls. No empirical test or performance evidence is supplied, so the selection rationale and suggested refinements are not validated.

Key ideas

• The initial screen uses amplitude above 1%, auction turnover above 0.26%, and excludes Beijing-listed stocks.
• A suggested refinement keeps prices within 2% of a 60-day moving average and applies valuation filters.
• The written rules, formula, and code contain apparent inconsistencies in regional exclusion and turnover scaling.
• Auction turnover can be abnormal, and technical filters alone may confuse short-term moves with durable trends.
• The post provides no backtest or evidence of strategy performance.

Tags

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