Short-Term Strength and Auction-Volume Filters for Stock Screening

Summary

This post describes a Chinese stock screen that looks for price amplitude above a threshold, at least one large daily gain during the previous 25 trading days, and a ratio involving the prior day's turnover and the current auction volume relative to prior volume. The proposed combination is intended to find volatile, recently strong stocks while using auction activity as a liquidity signal. The post also suggests considering volume indicators and company fundamentals when refining the screen.

The author identifies practical limits: the liquidity measure uses a single day's data, auction volume may be difficult to access reliably before trading, and the filters may favor speculative short-term strength. Example formulas are provided, but they do not fully reflect the stated 25-day condition and contain placeholder factors for liquidity and fundamentals, so they are not a complete implementation. No backtest or performance evidence is reported. The screen is presented as an idea that would need clearer definitions, dependable data, and risk controls before evaluation or use.

Key ideas

• The screen combines price amplitude, a recent large daily gain, and an auction-volume-based liquidity ratio.
• The post flags that a single day's liquidity data can be distorted by unusual trading.
• Auction volume availability and reliability may limit practical use of the proposed ratio.
• The sample formulas leave some factors as placeholders and do not fully implement the stated lookback rule.
• The author recommends risk controls and additional volume and fundamental measures.

Tags

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