Screening Chinese Stocks by Amplitude, Auction Volume, Turnover, and Size

Summary

The post presents a Chinese-stock screening idea that combines a price-amplitude threshold with a range for yesterday’s turnover multiplied by today’s auction volume relative to yesterday’s volume. It also requires circulating market capitalization above a stated threshold. The stated rationale is to find relatively active stocks among larger companies. A sample Python workflow loops through listed shares, retrieves daily history, computes amplitude and a turnover-related measure, filters candidates, and ranks the results by last close.

The article flags that the screen emphasizes market capitalization and omits fundamental measures such as revenue and profit. It suggests adding fundamentals and balancing indicator weights, but gives no backtest, portfolio results, or evidence that the screen predicts returns. The accompanying indicator formula and sample code do not map cleanly to the prose definition: they use different volume calculations and lookback choices, and the code’s data fields and units warrant validation before use. Treat the post as a rough screening recipe, not a tested strategy.

Key ideas

• The proposed screen combines price amplitude, a turnover and auction-volume relationship, and circulating market value.
• The sample workflow filters daily stock data and ranks selected shares by closing price.
• The post identifies its limited use of company fundamentals as a weakness.
• No backtest or evidence of predictive performance is presented.
• The sample formula and code differ from the prose description and need validation.

Tags

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