Screening Stocks by Amplitude and Auction Volume Relative to Turnover

Summary

The proposed screen selects stocks with amplitude above one percent and a measure formed by multiplying the previous day's turnover rate by the ratio of today's opening auction volume to the previous day's volume. That measure must fall between 0.5 and 2. The post also says to exclude Beijing-listed A-shares and frames the conditions as a short-term way to find shares with price movement and trading activity.

The article cautions that the screen does not assess company finances, earnings, cash flow, or other market factors, and that excluding a market segment may discard opportunities. It recommends adding fundamental and technical criteria for broader evaluation. Although code examples are included, the Python sample does not clearly implement the stated composite turnover and auction-volume rule, so it should not be taken as a faithful implementation. No backtest or outcome data is supplied to establish effectiveness.

Key ideas

• The stated screen requires amplitude above one percent.
• It constrains a product of prior turnover and an auction-volume ratio to a specified range.
• The described universe excludes Beijing-listed A-shares.
• The post presents the idea as short-term and acknowledges missing fundamental analysis.
• Its code example does not clearly match the full stated screening rule.

Tags

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