Filtering Stocks by Opening Auction Value, Amplitude, and Turnover

Summary

This Chinese stock screening note describes a selection rule based on price amplitude, opening auction value, and the previous session’s actual turnover. The initial screen looks for amplitude above 1, ranks stocks by current auction value, keeps the top five, and limits prior turnover to a stated range. It explains that larger amplitude and auction value may indicate activity, while turnover can serve as a rough liquidity filter.

The note identifies limitations: the rule leans heavily on technical and liquidity measures, and a broad turnover interval may admit less active stocks. It proposes narrowing the turnover band and adding company fundamentals such as profitability and industry position. The article also gives indicator and Python examples, but the displayed formulas and code do not consistently match the prose, including different turnover bounds. It supplies no performance test or evidence that the proposed refinements improve returns, so the screen is best read as an illustrative idea rather than a validated strategy.

Key ideas

• The initial screen combines amplitude above 1 with a top-five opening auction value ranking.
• It also filters stocks using the previous session’s actual turnover.
• The article suggests narrowing the turnover range and adding fundamental factors.
• Its examples contain discrepancies with the stated screening rules, and no backtest results are provided.

Tags

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