Chinese Stock Screening with Volatility, Auction Volume, and Profit Growth

Summary

This stock selection approach combines a price range condition, a turnover and volume activity measure, and year-over-year net profit growth. It screens for stocks with amplitude above one, a product of the prior day's turnover rate and the current auction volume relative to prior-day volume between 0.5 and 2, and profit growth above 20% and no greater than 100%. The accompanying discussion frames these conditions as a way to combine price movement, liquidity, market attention, and company fundamentals.

The page provides conceptual rationale and a Python example, but it does not report backtest results or define a full portfolio and execution process. The example's data operations do not transparently match every stated condition, so the implementation should be checked before use. The author notes risks from unreliable financial statements and reliance on a single year's growth, and suggests adding valuation measures, company news, announcements, and institutional holdings as further inputs. These suggestions are not tested in the document.

Key ideas

• The screen combines price amplitude, turnover-related volume activity, and year-over-year net profit growth.
• The stated activity measure uses prior-day turnover and current auction volume relative to prior-day volume.
• The proposed profit growth filter is above 20% and at most 100%.
• The discussion flags financial reporting quality and the use of one year's growth as limitations.
• The page offers further possible factors but does not provide evidence that they improve results.

Tags

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