Stock Screening with Price Amplitude and Auction-Volume Ratios

Summary

This Chinese stock-screening note combines a price-amplitude filter with a volume and turnover condition. It describes selecting shares whose amplitude exceeds 1 and whose prior-day turnover multiplied by the ratio of current auction volume to prior-day volume falls between 0.5 and 2. It also invokes a rounded, gradual price pattern, and gives a technical formula intended to identify prices close to a 60-day moving average relative to recent deviation. The accompanying sample implementation illustrates the intended filters, though its variable definitions and calculations are not fully consistent with the prose.

The note characterizes rounded price movement as comparatively steady, but supplies no backtest results or other evidence for that claim. It warns that price movement alone omits fundamentals, valuation, industry conditions, and financial measures. It recommends combining the proposed signals with those factors, including valuation measures, and treating the screen as an incomplete selection method rather than a validated strategy.

Key ideas

• The proposed screen uses amplitude above 1 and a turnover-adjusted auction-volume ratio between 0.5 and 2.
• A separate technical condition aims to identify prices near a 60-day average relative to recent deviation.
• The note associates rounded price paths with steadier behavior but provides no empirical support.
• Its sample logic does not clearly align with every condition described in the prose.
• The author recommends adding fundamental, industry, and valuation analysis.

Tags

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