Stock Screening by Price Amplitude, Auction Activity, and Listing Age
Summary
The post outlines a Chinese-equity screening heuristic based on price amplitude, ranking stocks by the day’s auction amount, and requiring a minimum listing age. It frames amplitude as a volatility measure, auction amount as a sign of activity, and listing history as a way to exclude newer listings. The discussion then recommends considering turnover, company fundamentals, and longer-term prospects alongside these technical filters. An illustrative code example adds an exchange-prefix restriction and selects a limited number of qualifying stocks.
No backtest, investment results, or supporting analysis is provided. The listing-age threshold is left as a parameter, and the post’s final description expands beyond its initial three conditions. The example also leaves important implementation details unclear, including the definition of amplitude and the auction-ranking data, so its screening logic requires verification before use. The author acknowledges that a screen based mainly on trading activity and price movement can omit fundamental and longer-term risks.
Key ideas
- The proposed screen combines price amplitude, auction-amount ranking, and a minimum listing age.
- The post treats amplitude and auction activity as indicators of volatility and trading interest.
- It recommends adding turnover, fundamental, and longer-term company analysis.
- The example is illustrative and lacks backtest evidence and clear definitions for some inputs.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.