Screening Chinese Stocks by Range, Float Size, and Auction Turnover

Summary

This stock screen combines three conditions: prior-session price amplitude above 1%, tradable shares no greater than 5.5 billion, and prior auction turnover above 0.26. The article explains the intended rationale: a larger range may identify short-term trading activity, a smaller share float may offer greater movement alongside greater risk, and auction turnover may indicate participation and investor attention. It provides reference formulas and Python-style logic for calculating the range and intersecting the qualifying sets.

The post recommends treating the screen as an initial filter and combining it with other indicators, fundamentals, and market context. It flags the short horizon, dependence on technical measures, and risk of weak win rates or drawdowns as limitations, and suggests adapting thresholds and limiting drawdown and trading frequency. No backtest, return series, or risk statistics are presented, so the proposed rationale is not evidence that the screen is profitable. The text also does not specify a complete portfolio or execution method.

Key ideas

• The screen selects stocks using prior-session amplitude, tradable share count, and auction turnover.
• Its stated thresholds are amplitude above 1%, float at or below 5.5 billion shares, and auction turnover above 0.26.
• The article frames range and turnover as indicators of activity, while noting that smaller floats can increase risk.
• It recommends adding fundamental and market context and adjusting thresholds to market conditions.
• No backtest or performance evidence is provided for the screening rules.

Tags

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