Screening Small-Float Stocks by Auction Activity and Price Range

Summary

This Chinese-language post proposes an equity screen that selects stocks with an amplitude above 1, ranks them by today’s auction amount, keeps the top five, and imposes a circulating-share cap of 5.5 billion shares. The rationale is to combine a price-range condition with strong pre-open auction activity and a limit on float size. The author argues that auction ranking may avoid names with very little activity, while smaller-float stocks can be more sensitive to market moves and short-term attention.

The post warns that the screen emphasizes short-term trading activity and may miss valuation, growth, seasonality, post-rally reversals, and changing sentiment. It suggests adding technical measures such as MACD and fundamental checks including valuation ratios and return on equity. Formula and Python references are provided, but the examples contain inconsistent or undefined fields and do not establish a working implementation. No backtest results, benchmark, or performance statistics are supplied, so the proposal is a selection rule with stated risks rather than evidence of an effective strategy.

Key ideas

• The screen applies an amplitude threshold and ranks stocks by current auction amount.
• It selects the top five by auction amount and limits circulating shares to 5.5 billion.
• The author associates smaller floats with greater sensitivity to market moves and trading risk.
• The post recommends adding technical and fundamental filters, but supplies no performance evidence.

Tags

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