Selecting Volatile Chinese Stocks by Morning Auction Value

Summary

This proposed stock screen excludes Beijing-listed shares, keeps stocks whose high-to-low amplitude exceeds 1%, and ranks the remaining names by that day’s opening-auction traded value. It selects the top five, making auction activity the ranking signal and intraday range a volatility filter. The post includes a Python-style example that applies the filters and sorts candidates in descending auction value.

The article notes that a large price range does not establish investment quality and that auction rankings reflect only a particular day’s activity. It recommends considering company performance, market share, and valuation measures for a fuller selection process. The post offers no backtest, return figures, or evidence that the five highest-ranked stocks perform well after selection. Its discussion also shifts between the original short-term ranking rule and a broader long-term fundamental screen, without specifying how the two would be combined. As written, this is a simple daily candidate screen whose results may vary with auction data definitions and market conditions.

Key ideas

• The screen removes Beijing-listed shares and requires price amplitude above 1%.
• Remaining stocks are ranked by opening-auction traded value, with five selected.
• The post warns that high amplitude and auction activity alone do not establish investment quality.
• It suggests adding fundamental measures but does not specify an integrated ranking method.
• No performance test or return evidence is provided.

Tags

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