Screening Equities by Range, Auction Volume, Turnover, and Opening Gap

Summary

This Chinese stock-selection note describes a screen for shares with amplitude above 1, a previous-day turnover rate adjusted by the ratio of current auction volume to prior-day volume between 0.5 and 2, current volume above 10,000 lots, and an opening price above the previous close. It presents these conditions as a way to find active stocks during market themes, where increased trading activity could accompany upward price moves.

The note warns that the filters can still select small-cap stocks or individual names with uncertain future performance. It suggests adding market disclosure and capital-flow information and adjusting the amplitude and volume thresholds. A formula and Python example are supplied, but their calculations do not cleanly match the stated screen, and the document provides no backtest results or evidence that the proposed filters predict gains.

Key ideas

• The screen combines price amplitude, adjusted turnover, auction volume, and an opening gap above the prior close.
• It is intended to find active equities during periods of strong market interest.
• The author warns that the screen may include small-cap stocks with uncertain prospects.
• The note suggests checking capital flows and market disclosures as additional filters.
• The example formulas and code do not fully align with the written screening logic.

Tags

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