A-Share Screen for Wide Ranges, Reversal Candles, and Auction Moves

Summary

This note describes an A-share stock screen combining a daily price-range threshold, a reversal or engulfing-style candle condition, and an opening-auction return bounded between -2% and 5%. It provides example implementations in indicator-formula and Python-like formats, with selected stocks sorted by a heat ranking. The intended use is to identify stocks showing notable price movement and a potential reversal alongside a moderate auction move.

The author cautions that the screen relies on market behavior and auction changes while omitting company fundamentals, and may fail under unusual market conditions. Suggested extensions include adding technical, fundamental, and macroeconomic inputs or fitting a model to historical data. The document gives no backtest results or evidence of predictive performance. Its example code also contains implementation ambiguities, so the precise reversal definition and data handling would need validation before use.

Key ideas

• The screen requires a price range above 1%, a reversal-style candle, and an auction return between -2% and 5%.
• The proposed logic targets stocks combining intraday movement with a potential reversal.
• The examples show how the criteria might be implemented and ranked for review.
• The note identifies the lack of fundamental inputs and warns that market conditions can undermine the screen.
• No performance evaluation is provided.

Tags

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