Combining Stock Amplitude, Auction Volume, Turnover, and Valuation Screens

Summary

This Chinese-language post outlines a Shenzhen main-board stock screen that combines price activity, trading measures, and valuation. It selects stocks with amplitude above 1 and a ratio formed from the prior day’s turnover rate and the current auction volume relative to the previous day’s volume between 0.5 and 2. It then applies positive price-to-earnings and price-to-book ranges, with upper limits of 29.01 and 3.11, respectively. The post presents the screen as a way to find active stocks that also meet valuation constraints.

The article offers a rationale for combining market activity with company valuation, but supplies no backtest, return series, benchmark, or evidence that the criteria predict performance. It flags delayed financial data, adverse events in smaller companies, and the risk of relying too heavily on valuation multiples. Its sample Python implementation also appears incomplete or inconsistent with the stated logic, so it should not be treated as validated executable code. The author suggests adding growth or dividend measures and combining technical and fundamental analysis.

Key ideas

• The screen combines price amplitude and turnover-related activity with valuation filters.
• It applies stated price-to-earnings and price-to-book bounds to Shenzhen main-board stocks.
• The post gives no performance evidence or benchmark comparison.
• Delayed financial data, company-specific shocks, and valuation distortions are identified as risks.
• The code example appears incomplete, and the proposed criteria need independent evaluation.

Tags

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