Chinese Stock Screening with Amplitude, Control, and Auction Volume

Summary

This Chinese stock-screening note describes a short-term technical filter combining a prior-day amplitude threshold, a prior-day “main force control” condition, and a ratio of turnover to the day’s opening-auction volume relative to prior-day volume. The stated selection rule keeps stocks where the product of prior turnover and that volume ratio falls between two bounds. The article frames these inputs as signals of price movement and trading activity.

It includes example Python-like code that applies additional filters, including minimum turnover, positive valuation fields, market-cap relationships, and non-ST status, then checks a moving-average crossover. These implementation details do not consistently match the stated rule: the sample uses daily volume and tick data, and processes only the first selected stock. The note provides no backtest, performance figures, or evidence that the screen predicts returns. It also warns that relying on technical data alone leaves the method exposed to fundamentals, market conditions, and sentiment, and suggests adding broader indicators.

Key ideas

• The stated screen combines prior-day amplitude and a control condition with a turnover and opening-auction volume ratio.
• The selection rule bounds the product of turnover and the relative auction-volume measure.
• The sample code adds valuation, market-cap, and moving-average conditions that differ from the stated screen.
• The article offers no performance evidence and flags market sentiment and omitted fundamentals as risks.

Tags

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