Chinese Stock Screening with Amplitude, Turnover, and Auction Volume

Summary

This proposed Chinese equity screen combines daily amplitude above 1 with a scaled activity measure: prior-day turnover multiplied by the ratio of current opening-auction volume to prior-day volume, constrained to a stated range of 0.5 to 2. The original description also uses a stock-code filter, though its later recommended logic instead says to exclude ST stocks. It presents the combination as a way to select volatile, actively traded shares.

The author notes that the screen ignores company fundamentals and financial data and that ST shares can carry elevated risk. Suggested refinements include excluding ST stocks, adding fundamental and technical factors, and considering liquidity and ownership changes. The example code does not clearly implement the written screen consistently, and the document provides no backtest or performance results. The thresholds and proposed signal therefore need clarification and independent validation before they can support a trading decision.

Key ideas

• The screen combines amplitude with prior turnover scaled by opening-auction volume relative to prior-day volume.
• The stated activity ratio is bounded between 0.5 and 2.
• The text is inconsistent about whether to select or exclude stocks with codes beginning in 60 and about excluding ST stocks.
• It recommends adding fundamentals, liquidity measures, and technical context to reduce risk.
• No backtest or performance evidence validates the conditions, and the example code is not fully consistent with the written logic.

Tags

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