Screening Stocks by Amplitude, Opening Price, and Auction Turnover
Summary
This Chinese equity screening method first filters for stocks with amplitude above the stated threshold and an opening price near the ten-period moving average. It then ranks candidates by the day’s auction amount and selects the top five. The note frames larger amplitude as a sign of short-term movement, proximity to the moving average as a possible consolidation condition, and auction turnover as a way to identify active market themes. It provides formula and Python-style examples for implementing the filters.
No backtest, return series, or other empirical validation is reported. The document warns that the method ignores fundamentals, may select stocks affected by exceptional price moves, and is intended for a rising overall market. It suggests adding fundamental or technical filters and risk controls such as stop losses. The exact meaning of “near” is illustrated with a band around the moving average in the sample, but the document does not establish that this range is optimal.
Key ideas
- The screen filters for elevated amplitude and an opening price near the ten-period moving average.
- Candidates are ranked by auction amount, with the top five selected.
- The note presents implementation examples but does not provide backtest evidence.
- It cautions that market weakness, unusual moves, and missing fundamental filters can limit the approach.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.