A Chinese Stock Screen Combining Volatility, Limit-Down Auction Price, and Trading Flow

Summary

This document proposes a Chinese equity screen using high price amplitude, a prior-day 9:15 indicative match price at the limit-down level, and a ratio of external to internal trading volume above 1.3. Its final version adds current volume above the 20-day average, then ranks selected stocks by total market value and takes a specified number. The post interprets the conditions as targeting volatile stocks, a possible sentiment signal, and buying versus selling flow.

It supplies example indicator expressions and illustrative selection code, but no historical performance, sample definition, or evidence that the signals predict returns. The code mixes platform-specific indicator functions with other data interfaces, so it should not be assumed to run as written. The author notes that the screen omits company fundamentals and recommends considering valuation, other technical measures, stop losses, and position controls. These suggestions are not tested, and the document does not establish that the added filters improve results.

Key ideas

• The proposed screen combines price amplitude, a prior-day auction price condition, and an external-to-internal volume ratio above 1.3.
• The final selection logic also requires volume above its 20-day average.
• Selected stocks are ranked by total market value in the example.
• The post provides illustrative formulas but no backtest results or validation of predictive value.
• The author identifies missing fundamentals and risk controls as limitations.

Tags

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