Selecting Chinese Stocks by Price Amplitude and Auction Amount

Summary

The described stock-selection rule filters for shares with daily price amplitude above 1% and more than one year since listing, then ranks candidates by the day’s auction trading amount and selects the top five. The rationale is to favor stocks showing price activity and strong auction interest, which may indicate short-term liquidity or market attention. The article also suggests adding technical or fundamental measures and risk controls such as volatility filters or exit rules.

The article supplies example screening logic and code, but the examples do not fully match the stated rule: the Python sample restricts the universe to Shanghai-listed stocks, uses a close-to-previous-close change as its amplitude proxy, and does not implement the stated listing-age filter or auction-amount ranking in a directly equivalent way. No backtest results are reported. The author notes that the screen omits company fundamentals, industry conditions, and macroeconomic factors, and that high trading activity does not ensure stock quality or future performance.

Key ideas

• The stated screen requires amplitude above 1%, listing history longer than one year, and a top-five rank by auction amount.
• The proposed rationale is to find active stocks with greater auction liquidity and attention.
• The article suggests supplementing the screen with technical, fundamental, and risk-control measures.
• The sample code does not implement all the stated filters and ranking steps consistently.
• No performance evidence is provided, and the screen may select active but low-quality stocks.

Tags

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