Screening Stocks by Volatility, Auction Value, and Prior-Day Low

Summary

This post outlines a short-term Chinese stock screen that requires amplitude above 1, ranks stocks by the day’s auction amount, keeps the top five, and requires the closing price to exceed the previous day’s low. The suggested interpretation is that elevated price movement and auction activity, alongside a close above the prior low, may identify stocks with near-term strength.

It provides indicator expressions and a short Python reference, but no backtest or evidence that the conditions produce an advantage. The author cautions that the screen emphasizes technical and trading activity while overlooking company fundamentals, and suggests adding measures such as valuation or net profit. The sample implementation relies on undefined or platform-specific ranking and reference functions, so it is not directly reproducible as written. The post presents a screening idea for further testing, not a validated strategy or a basis for long-term investment.

Key ideas

• The screen combines amplitude above 1 with a top-five ranking by auction amount.
• It requires the current close to exceed the previous day’s low.
• The post notes that technical conditions omit fundamental company information.
• The examples are references only and include functions that require platform-specific definitions.

Tags

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