A-Share Screen Using Intraday Range, Market Capitalization, and Auction Return

Summary

This stock-selection rule screens for shares with an intraday amplitude above 1%, circulating market capitalization above 10 billion yuan, and an opening-auction return between -2% and 5%. The article interprets the range filter as a way to favor active trading, the capitalization threshold as a size filter, and the auction return band as a constraint on opening performance. Its indicator and Python examples also limit selection to Shanghai main-board stocks.

The article notes that the screen omits company fundamentals and industry conditions, and that a strong opening does not guarantee continued strength. It suggests adding valuation, earnings, and sector information for broader evaluation. No backtest or returns are reported. The sample implementation retrieves current quotes and then randomly samples qualifying stocks, so it does not establish a ranking method or show that the filters have predictive value.

Key ideas

• The screen requires intraday amplitude above 1% and circulating market capitalization above 10 billion yuan.
• It restricts opening-auction returns to a band from -2% to 5%.
• The code example further limits candidates to Shanghai main-board stocks.
• The article warns that opening strength may not persist and that fundamentals and industry factors are omitted.
• No backtest or performance evidence is provided.

Tags

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