Chinese Stock Screening with Amplitude, Auction Volume, and Float Size

Summary

This Chinese equity screening proposal selects stocks with amplitude above 1, a specified ratio between yesterday’s turnover rate and today’s auction volume relative to yesterday’s volume between 0.5 and 2, and a circulating share count no greater than 5.5 billion. The author frames the conditions as a way to find volatile stocks while limiting the size of the tradable float. The accompanying discussion recommends adding company fundamentals, financial data, industry trends, valuation, and earnings expectations, and adjusting criteria to market conditions.

The document warns that relying on volatility and float size alone leaves important information out and that a float cap may exclude strong companies. It includes a code example and a separate indicator formula, but these appear to introduce filters that differ from the stated strategy, and the code references fields or variables without a clear complete setup. No backtest results, execution rules, or risk-adjusted evidence are provided. The screen is therefore a set of proposed filters rather than a demonstrated strategy.

Key ideas

• The stated screen combines amplitude above 1, an auction-volume-related ratio between 0.5 and 2, and a circulating share limit of 5.5 billion.
• The author presents amplitude and float size as the main selection dimensions.
• The document recommends combining these filters with fundamentals, valuation, financial data, and industry analysis.
• A strict float-size cap may exclude attractive companies, while the narrow factor set creates blind spots.
• The supplied examples do not demonstrate strategy performance and appear inconsistent with the written screening conditions.

Tags

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