Screening Stocks by Price Range, Auction Volume, and Prior Turnover

Summary

This Chinese stock-screening post combines a price-amplitude filter with a measure based on the prior day’s turnover and the ratio of current auction volume to prior volume. It selects stocks where that combined measure falls between 0.5 and 2, and which appeared on the prior day’s trading-activity list. The stated rationale is to find shares with price movement and active trading.

The post cautions that the screen omits fundamentals and other activity measures, and suggests adding volume, relative strength, and financial data. It also mentions a CCI threshold in its code example, so the implementation includes an additional technical filter beyond the headline logic. The example’s data handling and timing are not fully explained, and the post provides no backtest results or evidence that the filters predict returns. Treat it as a screening idea that needs validation, rather than a demonstrated strategy.

Key ideas

• The screen combines price amplitude with a turnover and auction-volume ratio.
• It also requires a prior-day appearance on a high-trading-activity list.
• The code example adds a CCI condition that is not part of the headline screen description.
• The author notes that fundamentals and additional trading activity measures are omitted.
• No backtest evidence is provided to establish the screen’s performance.

Tags

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