Chinese Stock Screening with Amplitude and Turnover Activity

Summary

This A-share screening proposal combines price amplitude with turnover-related activity measures. Its stated criteria require amplitude above 1, a product involving the previous day’s turnover rate and the ratio of today’s auction volume to the previous day’s volume between 0.5 and 2, and a turnover rate between 2% and 9%. The document presents these filters as a way to identify stocks with market activity.

The author notes that the rule relies on trading data and technical conditions, leaving out company fundamentals, and cautions against placing too much weight on turnover. The suggested refinements include adding market capitalization, sector, and performance information. A formula and Python example are included, but the examples do not cleanly align with the written auction-volume rule, and no backtest evidence or returns are reported. The screen should therefore be read as a proposal, not an established profitable strategy.

Key ideas

• The stated screen combines amplitude, turnover rate, and a turnover-weighted comparison of auction volume with prior volume.
• The turnover-rate filter is intended to focus on stocks with a defined level of trading activity.
• The document warns that the rule omits fundamentals and can overemphasize turnover.
• It suggests adding market capitalization, sector, and company performance data.
• No performance evidence is supplied, and the sample implementations may not match the written criteria precisely.

Tags

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