Screening Stocks by Auction Activity, Volatility, and Moving-Average Overlap

Summary

This Chinese A-share screen ranks stocks by today’s auction amount, retains the top five, requires amplitude above one, and looks for overlap among five moving-average periods: 5, 10, 20, 30, and 60 sessions. The article’s final version adds a return-on-equity threshold above 15%. It provides example indicator conditions and a Python-style outline for combining the filters.

The premise is to combine early-session trading activity and price movement with a compressed moving-average structure, then add a profitability measure. The document does not define how overlap is measured beyond its listed conditions, nor does it provide a backtest, holding period, entry or exit rules, or evidence that the screen predicts returns. It cautions that price-based filters omit company fundamentals and suggests considering additional financial and technical measures. The listed code is presented as a reference and would need adaptation to valid data and platform functions.

Key ideas

• The screen selects the five highest auction-amount stocks subject to an amplitude threshold.
• It checks five moving-average periods for the specified overlap condition.
• The final selection adds return on equity above 15% as a fundamental filter.
• No holding rules or performance evidence are provided, so the screen alone does not establish a tradable edge.

Tags

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