Equity Screening with Amplitude, Auction Volume, and Opening-Price Bounds

Summary

This document outlines a Chinese equity screen using three conditions: amplitude above 1, a ratio involving yesterday’s turnover and today’s auction volume relative to yesterday’s volume between 0.5 and 2, and an auction price change from -2% to 5%. The stated aim is to combine price movement with liquidity and constrain the opening move. It includes a sample Python-style procedure, but no backtest, performance data, or evidence that the conditions generate an advantage.

The post says fixed thresholds may exclude promising stocks or short-term inflows, while market volatility and changes in fundamentals can undermine the screen. It proposes adding valuation, financial, industry, and sentiment analysis and studying liquidity more carefully. The sample code’s data fields and calculations do not transparently match all the stated rules, and the document does not define the auction-volume ratio in operational detail. The screen should therefore be read as a proposed selection recipe, not as a verified implementation or validated strategy.

Key ideas

• The proposed criteria combine amplitude, a turnover and auction-volume ratio, and a bounded auction price change.
• The ratio is specified as falling between 0.5 and 2, while the auction change is bounded from -2% to 5%.
• The post warns that fixed rules can miss candidates and may fail as market or company conditions change.
• It recommends adding valuation, fundamental, industry, and sentiment inputs, but provides no performance evidence.

Tags

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