Stock Screening by Price Amplitude, Institutional Activity, and Auction Return

Summary

The proposed Chinese equity screen combines three conditions: price amplitude above 1, institutional participation above 30% over the prior 15 days, and an auction-period price change between -2% and 5%. The post describes amplitude and institutional activity as ways to identify volatile stocks with notable institutional interest, while the auction return range is intended to exclude moves seen as excessively weak or already overheated.

The article provides formula and code examples, but no backtest, return data, or evidence that the filters predict investment value. It notes that an auction move captures only a brief pre-market condition and may say little about longer-term prospects. The code is presented as a reference and includes implementation details that would need checking against the chosen data platform. The author suggests combining the screen with technical and fundamental measures such as MACD, RSI, valuation ratios, and book value ratios.

Key ideas

• The screen requires price amplitude above 1 and institutional participation above 30% over 15 days.
• It constrains auction-period price change to the range from -2% to 5%.
• The auction filter captures a brief market condition and may not reflect long-term investment value.
• The post supplies formula and code references but no evidence of strategy performance.
• It suggests combining the filters with technical and fundamental analysis.

Tags

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