Selecting Chinese Stocks by Volatility, Auction Value, and Three Down Closes

Summary

This stock screen combines three conditions: price amplitude above 1, a top-five rank by the day’s auction amount, and three consecutive sessions in which the close is below the prior close. It aims to find active stocks showing a short-term downward price pattern. The document gives a brief explanation of the criteria and a sample formula and Python outline, but it does not report backtest results or performance evidence.

The screen may miss companies with strong fundamentals, and three declining closes can reflect temporary sentiment rather than worsening business prospects. Auction activity and recent price action alone do not establish value or a likely rebound. The author suggests supplementing the screen with company metrics such as market capitalization and valuation ratios, and aligning any selections with a broader investment approach. The code is presented as a reference and may need adjustment; no detailed execution rules or risk controls are provided.

Key ideas

• The screen requires amplitude above 1 and a top-five ranking by the day’s auction amount.
• It also selects stocks whose closes have fallen for three consecutive sessions.
• The criteria emphasize activity and recent price behavior rather than company fundamentals.
• The document gives example formulas but provides no performance results or backtest evidence.
• It recommends adding fundamental analysis and considering the risk that a losing streak reflects temporary sentiment.

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