A-Share Opening Screen Using Amplitude, Trading Volume, and Auction Gain

Summary

This article describes an intraday Chinese stock screen based on four conditions: price amplitude above a threshold, current volume above a stated level, a higher opening price, and a gain below a cap at 9:25. The idea is to focus on stocks showing price movement and active trading while avoiding names whose pre-open gain has already become too large. The document provides a sample indicator formula and a Python sketch, though the code's data handling and implementation details are not fully explained.

The author notes that the screen uses few factors and may not respond well to broader market changes. They suggest considering company fundamentals, market conditions, and other technical indicators such as MACD or KD. No historical test, return data, or comparison with a baseline is presented, so the proposed relationship between these conditions and further gains is not demonstrated. The stated thresholds and timing would require clear data definitions and testing across market regimes before practical use.

Key ideas

• The screen combines price amplitude, current volume, a higher open, and a capped 9:25 gain.
• The article provides sample formula and Python implementations, but does not establish their reliability.
• The author identifies limited inputs and weak sensitivity to market conditions as risks.
• Possible extensions include fundamental data, market context, and additional technical indicators.
• No backtest or performance evidence is included.

Tags

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