A-Share Screen for Volatility, Prior Limit-Down Auctions, and Morning Gains

Summary

This Chinese stock-screening note combines three conditions: amplitude above 1, a prior-day 9:15 matched price at the limit-down level, and a 9:25 gain below 6%. It presents the screen as a way to find stocks with notable movement, subdued auction sentiment, and limited early gains, with the possibility of a rebound. The note gives corresponding indicator expressions and a Python-style example that ranks candidates by stock popularity.

The article provides no backtest, performance data, or evidence that the conditions predict rebounds. It cautions that fundamentals, broader market direction, sector themes, and operational risks matter, and suggests adding technical, market, and fundamental inputs. The sample code also references platform-specific functions and data fields, so it is not a self-contained implementation. Treat the screen as a candidate-generation rule that requires validation and context, not as a demonstrated trading strategy.

Key ideas

• The screen requires amplitude above 1, a previous-day 9:15 matched price at limit down, and a 9:25 gain below 6%.
• The author interprets the conditions as identifying volatile stocks with relatively low auction sentiment and moderate early price gains.
• The example ranks qualifying stocks by a popularity field, but supplies no performance evidence.
• The note advises considering fundamentals, market direction, and sector conditions alongside technical filters.

Tags

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