Chinese Stock Screening with Volatility, Auction Volume, and Turnover

Summary

The document describes a Chinese equity screening rule combining price movement, trading activity, and liquidity. It selects stocks with daily amplitude above 1, a product of the previous day's turnover rate and the ratio of today's opening auction volume to the previous day's volume between 0.5 and 2, and a previous-day trading value above 60 million. The article's later version refers to average trading value, while its initial description specifies the previous day's value, so the exact liquidity filter is not fully consistent.

The author presents the screen as a way to find liquid stocks with potential for stronger price moves, then suggests adding financial measures such as earnings and valuation ratios alongside moving averages or MACD. No performance evidence or backtest results are provided. The accompanying sample code does not clearly implement the stated rule: it uses different fields and dates, and its volume condition is difficult to reconcile with the described trading-value threshold. The screen is therefore a starting hypothesis rather than a validated strategy, and technical and liquidity filters alone can miss fundamental risks or promising companies.

Key ideas

• The screen combines daily amplitude with turnover adjusted by opening-auction volume relative to prior-day volume.
• It applies a liquidity filter based on prior trading value, though the text later changes this to average trading value.
• The author proposes adding fundamental and technical indicators to broaden the selection criteria.
• The document supplies no performance testing, and its example code does not clearly match the written screen.

Tags

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