A-Share Screen for Volatility, Limit-Down Auctions, and Deep Intraday Losses

Summary

This document describes an A-share stock screen combining amplitude above 1, a prior-day 9:15 matched price at the limit-down price, and a current-day maximum decline between 4% and 5%. It presents indicator formulas and illustrative Python-style selection logic, which also sorts candidates by price-to-earnings ratio. The proposed rationale is that the conditions identify stocks affected by market sentiment that have undergone a sharp adjustment and might rebound.

The document provides no backtest results or evidence that the screen predicts rebounds. Its explanation is a hypothesis, and the sample code relies on platform-specific indicators and functions that are not defined in the text. It also warns that focusing on short-term price swings can overlook long-term company value and create selection risk. It suggests adding company growth, industry position, and risk controls, but does not specify how to measure or test them.

Key ideas

• The screen combines amplitude, a prior-day limit-down auction condition, and a current-day loss range.
• The stated rebound rationale is speculative and is not supported with performance evidence.
• The example code ranks selected stocks by price-to-earnings ratio.
• The document cautions that short-term price filters can miss long-term company and industry factors.

Tags

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