Screening Shanghai-Listed Stocks by Range and Auction Volume

Summary

This note describes a daily equity screen for stocks whose codes begin with 60. It requires the day's high-low range to exceed 1% of the previous close, then combines prior-day turnover with the ratio of current auction volume to the previous day's volume. The resulting product must fall between 0.5 and 2. The rationale offered is that the range indicates volatility, while the volume ratio and turnover together approximate trading activity.

The document provides indicator-formula and Python examples that express the filters. It does not report a backtest, performance figures, or evidence that the thresholds predict returns. It also cautions that a large range does not imply a favorable trend, the code prefix restricts the universe, and turnover and auction volume give only a partial view of stock quality. The proposed improvements are to add technical or fundamental measures and risk controls; the screen itself should therefore be treated as a basic activity and volatility filter, not a complete strategy.

Key ideas

• The screen selects stocks with codes beginning with 60 and a daily range above 1% of the previous close.
• It multiplies prior-day turnover by the ratio of current auction volume to prior-day volume.
• The combined activity measure must be between 0.5 and 2.
• The note offers formula and Python examples but no performance validation.
• High volatility and trading activity alone do not establish stock quality or favorable direction.

Tags

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