Stock Screening by Auction Value, Price Range, and Rising 30-Day Average

Summary

This Chinese-language post describes an equity screen that selects stocks with amplitude above one, ranks them by the day’s auction value, keeps the top five, and requires the 30-day moving average to be rising. The author’s rationale is that large price movement and high auction activity may identify active stocks, while a rising average provides a trend filter. The final discussion also recommends considering company fundamentals when applying the screen.

The post includes formula references for the amplitude threshold, auction-value ranking, and moving-average direction, as well as sample Python-style logic that excludes halted stocks. It does not provide a backtest, return data, or evidence that these filters improve results. The stated caveat is that a technical-only screen can overlook weak financial conditions and may encourage risk taking without adequate capacity. Fundamental checks and consideration of investor flows are suggested as possible additions, but their effects are not evaluated.

Key ideas

• The screen filters for amplitude above one and a rising 30-day moving average.
• It ranks stocks by today’s auction value and selects the top five.
• The post argues that auction activity may highlight active stocks, with the moving average providing trend confirmation.
• The example logic excludes stocks with no opening price, but no performance results are reported.
• The author cautions that technical filters alone may miss poor fundamentals and recommends broader screening.

Tags

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