Selecting Chinese Stocks by Opening Auction Activity and Volume Ratio

Summary

This post outlines a China A-share stock screen using daily price amplitude, opening-auction amount rank, and volume ratio. It selects stocks with amplitude above 1, ranks them by auction amount to keep the top five, and applies a volume-ratio band above 1.5 and below 6. The discussion presents these filters as a way to find actively traded, volatile stocks while avoiding unusually extreme volume.

The post gives example indicator formulas and Python-style reference logic, but it does not provide a backtest, performance figures, or evidence that the proposed rationale works. The examples also contain inconsistencies: the heading says volume ratio above 1, while the detailed rules specify above 1.5, and the code's amount condition does not clearly implement the stated auction ranking. The author flags missing financial and longer-term considerations and suggests adding valuation or trend indicators. These are screening ideas, not a validated trading system.

Key ideas

• The screen combines price amplitude, opening-auction amount rank, and a bounded volume ratio.
• The detailed selection rules use amplitude above 1, a top-five auction-amount rank, and volume ratio between 1.5 and 6.
• The post offers formula and code examples but reports no backtest or measured trading results.
• Its implementation examples may not match the written screening rules, so the logic needs verification before use.
• The author notes that financial fundamentals, diversification, and holding period are not addressed.

Tags

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