Equity Screening with Range, Moving Average, and Auction Volume

Summary

This Chinese equity screening proposal combines three filters: prior-session price amplitude above a threshold, an opening price near the 10-day moving average, and an activity measure based on the previous day’s turnover multiplied by the ratio of today’s auction volume to yesterday’s volume. The stated rationale is to find stocks with recent movement, prices near a short-term average, and elevated trading activity.

The post provides indicator and Python examples, but the formulas shown are not fully consistent with the prose description. It warns that short-term volatility and turnover measures can be distorted by unusual market conditions and may encourage chasing price moves. It suggests adding longer-term indicators and stronger risk controls, but gives no backtest results or evidence that the screen predicts returns. The screening logic should therefore be treated as a proposal whose definitions and data alignment require careful validation.

Key ideas

• The screen combines price amplitude, proximity of the opening price to a 10-day average, and an auction-volume activity measure.
• The proposed rationale links range to short-term movement and turnover to market activity.
• The supplied code and written conditions do not align cleanly, so the exact screen needs verification.
• The author identifies short-term signal dependence and abnormal market activity as risks.
• No performance evidence is supplied, and longer-term indicators and risk controls are suggested as possible additions.

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