Intraday Stock Screen Using Amplitude, Auction Turnover, and Price Change

Summary

This note presents an intraday Chinese stock screen using three conditions: amplitude above 1, a top-five ranking by that day’s auction amount, and a price change between -5% and 2.6%. Its stated rationale is to focus on volatile stocks with high auction activity while constraining the day’s price move. The document includes formula and Python-style examples and mentions excluding suspended stocks with no opening price.

The note provides no backtest, trade records, or evidence that these conditions predict returns. It also acknowledges that the screen largely ignores company fundamentals and that its reference to favorable technical patterns is not backed by a defined pattern test. The example code and indicator references are only sketches, so data definitions and ranking timing would need to be checked before implementation. Suggested improvements include adding indicators such as MACD or RSI, considering fundamentals, and controlling position size. As written, this is a screening concept rather than a complete entry, exit, or risk-management strategy.

Key ideas

• The screen requires amplitude above 1, top-five auction amount, and a price change between -5% and 2.6%.
• The stated logic targets volatile stocks with high auction activity while limiting the observed price-change range.
• The document provides example formulas but no backtest or return evidence.
• It identifies missing fundamental analysis and unspecified technical-pattern criteria as weaknesses.
• Suggested refinements include adding indicators, fundamental checks, and position controls.

Tags

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