Chinese Stock Screening with Daily Range and Auction Volume Ratios

Summary

This Chinese equity screening proposal selects stocks whose daily amplitude exceeds 1, whose prior-day turnover rate multiplied by the ratio of current-day auction volume to prior-day volume falls between 0.5 and 2, and whose closing price is above the previous day’s low. The article interprets these conditions as a way to combine price movement, trading activity, and a basic indication of price resilience.

It includes a Python reference, but does not present a backtest, selection results, transaction rules, or evidence that the filters identify rising stocks. It warns that fixed criteria can both exclude promising stocks and include future underperformers, and that market, fundamental, policy, or event changes can undermine the screen. The article suggests adding other technical indicators, fundamental and sentiment analysis, and liquidity research. The code’s field definitions and calculations should be verified against the intended auction-volume and turnover measures before practical use.

Key ideas

• The screen uses daily amplitude above 1 and a turnover-adjusted auction-to-prior-volume ratio between 0.5 and 2.
• It requires the closing price to exceed the previous day’s low.
• The proposal combines price and volume measures but provides no backtest or performance evidence.
• Fixed filters can miss candidates or select stocks that later perform poorly, especially as market conditions change.

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