A Chinese Stock Screen Combining Intraday Range, Auction Ranking, and Control Signal

Summary

The document outlines a Chinese stock selection rule combining three conditions: intraday amplitude above 1, a top-five rank by current opening-auction amount, and a positive “control” condition. It describes that last condition in terms of the day's midpoint price relative to the prior midpoint and the high-low range relative to the prior close. Indicator expressions and a short Python example are included as implementation references.

The post frames the screen as combining price movement, activity, and market sentiment, but it supplies no backtest or evidence that the conditions predict returns. It also acknowledges that the method does not account for company fundamentals or macroeconomic conditions. The explanation and formulas are not fully aligned: the prose describes a price path around the opening price, while the displayed calculation uses midpoint and range comparisons. The sample code also references platform-specific functions, so it is not a self-contained executable strategy.

Key ideas

• The screen requires intraday amplitude above 1 and a top-five opening-auction amount rank.
• Its additional control condition compares the current midpoint and intraday range with prior-session values.
• The article presents the conditions as a way to combine activity, price movement, and sentiment.
• No backtest or return evidence is provided, and fundamental and macroeconomic factors are omitted.
• The written explanation and displayed formula for the control condition differ, and the code uses platform-specific functions.

Tags

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