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

Summary

This note describes a Chinese A-share screening rule combining daily amplitude above 1%, a positive but below 35% return over ten days, and a previous-day 9:15 auction match price at the limit down. Its rationale is to find stocks that have moved recently without extreme gains, while looking for a possible rebound after a sharp pre-open decline. The article also suggests adding company valuation measures and trading-volume checks, and using diversification and risk controls.

The note offers no backtest, performance data, or evidence that the conditions predict rebounds. It cautions that an auction limit-down price does not establish a future direction and that the screen omits company fundamentals. The accompanying Python example appears incomplete and may not implement the stated auction condition reliably, so the written rule is more informative than the code as a ready-to-run strategy.

Key ideas

• The screen requires amplitude above 1% and a ten-day return between 0% and 35%.\nIt also selects for a prior-day 9:15 auction match price at the limit down.\nThe proposed rebound rationale is a hypothesis, not supported by reported performance evidence.\nThe note recommends adding fundamentals, volume checks, diversification, and risk controls.

Tags

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