Screening Chinese Stocks by Amplitude, Float Size, and Auction Return

Summary

This Chinese stock screening note selects shares with price amplitude above 1, a tradable share count no greater than 5.5 billion, and an auction-related return between -2% and 5%. It presents the filters as a way to find relatively active, smaller-cap stocks whose short-term price action may offer trading opportunities. Example indicator and Python snippets show how the author intends to combine the conditions and rank qualifying names by volume ratio.

The note gives no backtest, performance figures, or evidence that the screen predicts returns. It cautions that technical and auction data do not capture company fundamentals or long-term value, and that the selected stocks may be overvalued or have weak business results. It suggests adding indicators such as MACD or RSI and fundamental measures such as valuation and dividend yield. The snippets also leave implementation details unclear, including how the auction return is measured and how the stated amplitude and share-count filters map to the data fields. Treat the screen as a hypothesis requiring validation and risk controls.

Key ideas

• The screen combines amplitude above 1, a float limit of 5.5 billion shares, and an auction return bounded by -2% and 5%.
• The author frames the filters as a way to find active stocks with possible short-term trading opportunities.
• The note does not provide backtest results or evidence of profitability.
• It recommends supplementing price-based screening with technical indicators and company fundamentals.
• Auction data and technical filters can mislead and do not establish a stock's long-term value.

Tags

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