A-Share Screen Using Price Amplitude and Auction Return

Summary

The document proposes a stock-selection screen for Chinese A-shares. It combines daily price amplitude above one percent, a historical filter for 2021, and an auction-price return between negative two and positive five percent. The selected names form a candidate investment pool; the page also sketches implementations in a charting formula and Python using market data fields.

The accompanying rationale treats larger amplitude as a sign of greater price movement and the bounded auction return as a way to avoid extreme opening moves. It offers no backtest, signal count, comparison, or evidence that these conditions predict returns. The time restriction makes the screen historical, auction-price data definitions may differ across feeds, and the page itself warns that current conditions may diverge from history and that price-only selection omits company fundamentals. It suggests adding fundamental or technical filters, but does not test those changes.

Key ideas

• The proposed screen requires daily high-low amplitude above one percent.
• It restricts eligible observations to the year 2021.
• It filters for an auction-price move between negative two and positive five percent.
• The page gives example implementations but no performance analysis.
• It notes historical regime changes and missing fundamental information as limitations.

Tags

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