A-Share Screen for Prior Limit-Down Auctions, Small Capitalization, and Profitability

Summary

This A-share screen combines amplitude above 1 with a prior-day 9:15 matched auction price at the limit-down level. It further requires market capitalization below 10 billion yuan, positive earnings, and exclusion of stocks marked ST. The document provides formula examples and sample Python code, with a suggested ranking by stock popularity for selecting a small set of candidates.

The article characterizes the filters as combining volatility, market sentiment, and basic profitability, but supplies no backtest or performance evidence. It cautions that market and policy risks remain, and that market capitalization and earnings alone omit other important company and technical factors. It proposes adding more factors, using risk controls such as stop levels, and examining the strategy through retrospective testing. The unusual auction condition and code examples would require careful verification against the data definitions and market rules before use; the document does not specify entry, exit, or position-sizing rules.

Key ideas

• The screen requires amplitude above 1 and a prior-day 9:15 matched price at limit down.
• It limits market capitalization to below 10 billion yuan, requires positive earnings, and excludes ST stocks.
• The example code ranks qualifying candidates by popularity.
• The article gives no performance results and recommends broader factor analysis, risk controls, and historical evaluation.

Tags

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