A Chinese Stock Screen Using Intraday Range, Limit-Ups, and Auction Returns

Summary

This post proposes screening Chinese stocks for a daily price range above one percent, at least two limit-up moves over a 500-day window, and an auction-period return within a stated band. It also suggests ranking candidates with a score combining auction return, range, and limit-up count. The article supplies example formula and Python snippets, but no backtest results or empirical support for the proposed signals.

The stated thresholds conflict across sections: the prose gives one auction-return interval, while the formula and code use different bounds; the formula's inequality also does not clearly express the prose interval. The sample code uses current-day tick data while applying a 500-observation rolling condition, which may not match the intended historical screen. The post acknowledges that technical filters may miss fundamental information and that news-driven auction moves can be volatile.

Key ideas

• The proposed screen combines price range, historical limit-up frequency, and auction-period return.
• The post suggests ranking candidates by a composite score involving those measures.
• The stated auction-return bounds differ between the prose, formula, and code examples.
• The document provides no performance evidence and notes risks from omitted fundamentals and short-term speculation.

Tags

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