Stock Screening by Amplitude, Auction Value, and Opening Gain

Summary

This note describes a Chinese stock screen that selects stocks with amplitude above one, ranks them among the top five by the day’s auction value, and limits the gain at 9:25 to less than six percent. The proposed rationale is to favor active, higher-value stocks while excluding names with especially large early gains. The document includes indicator expressions and a short Python sketch, although the code’s conditions do not cleanly implement every stated filter: it substitutes positive turnover for amplitude and leaves the ranking expression undefined.

The article provides a qualitative explanation, not backtest results or evidence of predictive performance. It warns that the rules focus on volatility and trading value, without considering company finances or valuation, and that broad market weakness can undermine even prominent stocks. It suggests adding financial and technical measures such as valuation ratios, profitability, or RSI. The strategy should therefore be read as a screening proposal with implementation gaps, not as a tested or complete trading system.

Key ideas

• The proposed screen uses amplitude, top-five auction value, and a 9:25 gain below six percent.
• Its rationale is to find active stocks while filtering out large early gains.
• The code example does not fully implement the stated criteria, including the amplitude and ranking filters.
• The document offers no backtest or performance evidence.
• It recommends combining trading activity filters with financial and valuation measures.

Tags

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