Screening A-Shares for Range, Volume, Gap-Up, and Auction Turnover

Summary

This post describes a China stock screen intended to find active shares with strong short-term sentiment. Its stated conditions are daily amplitude above 1, current volume above 10,000 lots, an opening price above the prior close, and prior-day auction turnover above 0.26. The article frames amplitude, volume, and a gap-up open as activity or sentiment measures, while auction turnover is treated as an indication of recent short-term interest.

The post gives example screening logic and a Python outline, but the code’s handling of turnover uses a volume-to-float-shares calculation and does not clearly establish that it matches the stated auction-turnover condition. It offers no backtest or performance evidence. It cautions that auction turnover may be unstable and that false breakouts can lead to mistaken selections. Suggested additions include technical and fundamental measures, though no combined model or risk-control method is evaluated.

Key ideas

• The screen combines amplitude, trading volume, a gap-up open, and prior auction turnover.
• The stated goal is to select active shares associated with elevated short-term sentiment.
• The post identifies unstable auction turnover and false breakouts as sources of error.
• Its example code does not demonstrate that its turnover proxy matches the stated auction-turnover filter.
• No backtest results are provided to establish the screen’s effectiveness.

Tags

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