A-Share Screen Combining Price Range, Limit-Up Patterns, and Auction Prices

Summary

This Chinese A-share screening proposal combines a daily price-range threshold, exclusion of ST-designated stocks, a five-session limit-up pattern, and a previous-day 9:15 call-auction matched price at or below 90% of the prior close. It says to select stocks before 10 a.m. and describes the auction-price filter as a way to narrow the candidate list. The accompanying Python example calculates a price-range measure, excludes names containing ST, checks for a five-session closing high, and applies the auction-price condition.

The article offers no backtest, performance data, or precise definition of the named five-step limit-up strategy. Its code’s rolling-high check is not itself evidence of a profitable limit-up setup, and the price-range calculation may not match the stated threshold’s intended units. The post acknowledges that the screen omits broad market and macro conditions, may miss stocks that rebound after a weak auction, and can lag when ranking by auction amount. It suggests adding company fundamentals, other data, and valuation or size filters, but does not test those changes.

Key ideas

• The screen combines a price-range threshold, non-ST status, a five-session limit-up pattern, and a weak prior-day auction price.
• The proposed selection time is before 10 a.m., though the post does not specify execution rules.
• The article does not define the five-step pattern precisely or provide evidence of strategy performance.
• A weak call-auction price may identify candidates but can also exclude stocks that quickly rebound.
• The author suggests adding market, fundamental, and valuation filters to address omitted information.

Tags

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