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

Summary

This Chinese equity screening idea combines three conditions: daily price range above one percent, at least two limit-up events within the preceding 500 days, and a ratio between 0.5 and 2 formed from the prior day’s turnover rate and today’s opening-auction volume relative to the previous day’s volume. The post frames limit-up history and auction activity as signals of market expectations, while treating range as an indicator of risk.

The document supplies indicator formulas and a Python-style example, but their implementations do not fully align: the code’s range calculation uses averages across daily history, and its final volume check compares volume rather than explicitly applying the turnover-rate multiplier described in the prose. No backtest results or performance evidence are given. The author notes that historical data cannot account for fundamentals or uncertain market conditions and suggests adding fundamental and macroeconomic inputs.

Key ideas

• The screen selects stocks with daily amplitude above one percent.
• It requires at least two limit-up events in a 500-day lookback.
• Auction volume relative to prior-day volume is constrained to a stated interval, with prose also involving prior turnover.
• The provided formulas and code do not implement every part of the prose consistently.
• The post offers no performance results and identifies missing fundamental and macroeconomic context.

Tags

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