Chinese Stock Screening with Amplitude, Relative Volume, and Auction Activity

Summary

This Chinese equities screen combines daily amplitude above 1 with relative volume between 1.5 and 6, a measure involving the prior day’s turnover and the current opening auction volume relative to the previous day’s volume, and an opening price below the prior close. The article presents amplitude as a volatility filter and relative volume as a way to identify active trading without extreme volume. It also treats turnover and auction volume as indicators of market interest or fund flows.

The document gives formula and Python examples, but provides no backtest, return data, or evidence that the conditions improve selection. It cautions that turnover and auction activity can be distorted by sentiment and advises combining the screen with other technical and fundamental information, dynamic exits, position sizing, and diversification. The code is illustrative and contains data-handling inconsistencies, so its calculations should be checked before use.

Key ideas

• The screen looks for amplitude above 1 and relative volume from 1.5 to 6.
• It combines prior turnover with opening auction activity relative to previous volume.
• The final selection also requires the opening price to be below the previous close.
• Volume and auction measures can reflect sentiment as well as underlying demand.
• The article presents no tested performance and recommends risk controls and additional filters.

Tags

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