Stock Screening by Price Range and Auction Turnover Activity

Summary

This Chinese stock-screening note describes selecting shares with an amplitude above 1 and a ratio of yesterday’s turnover rate multiplied by today’s auction volume divided by yesterday’s volume between 0.5 and 2. It also requires recent trading data, with the final logic specifying activity within the past week. The rationale is to find stocks with both price movement and trading interest. The article’s example code is incomplete and refers to fields without explaining how they are calculated, so it does not establish a reproducible implementation.

The author cautions that the screen omits company fundamentals and financial data, and that activity can reflect market sentiment. Its earlier one-year data check could admit stocks that have since stopped trading, prompting the revised recent-data filter. The note suggests adding fundamental, technical, liquidity, and ownership considerations, but provides no backtest or performance evidence. The screen is therefore a preliminary selection rule rather than a demonstrated trading strategy.

Key ideas

• The screen combines price amplitude with a turnover and auction-volume ratio between 0.5 and 2.
• The final logic requires recent trading data within the past week.
• The article links the filters to volatility and trading activity but presents no performance evidence.
• Fundamental, liquidity, and ownership checks could address risks left out of the screen.

Tags

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