Large-Cap Stock Screen Using Range and Auction-Volume Activity

Summary

This Chinese stock selection note combines three filters: daily amplitude above 1%, circulating market capitalization above 10 billion yuan, and a turnover-based activity measure between 0.5 and 2. That measure multiplies the prior day's turnover rate by today's auction volume divided by the prior day's trading volume. The stated aim is to identify larger, relatively active stocks with sufficient liquidity.

The document explains the filters qualitatively but supplies no backtest or evidence of predictive performance. It warns that turnover is sensitive to market sentiment and that the chosen range and calculation may not suit every stock. The sample implementation also appears to differ from the stated formula in its use of daily turnover and volume fields, and its universe selection has limitations. The note suggests testing alternative thresholds and adding fundamental filters such as profitability, leverage, or valuation measures before relying on the screen.

Key ideas

• The screen requires daily amplitude above 1% and circulating market value above 10 billion yuan.
• Its activity filter multiplies prior turnover by the ratio of current auction volume to prior volume.
• The target range for that combined activity measure is between 0.5 and 2.
• Turnover can reflect changing sentiment, and the note offers no performance validation.
• The example implementation may not calculate the described measure consistently.

Tags

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