A-share Screening with Intraday Amplitude, Control, and Auction Returns

Summary

This short-term Chinese stock screen selects shares whose daily price amplitude exceeds 1, whose reported daily control measure has an absolute change above 21, and whose auction-period return lies between -2% and 5%. The post presents these filters as a combination of technical activity, a control-related measure, and market sentiment. It also sketches implementations in a domestic indicator formula and Python, then recommends adding financial and industry checks, diversifying the technical and volume signals, and using risk controls such as position limits.

The article cautions that auction returns are only an imperfect expression of sentiment and that market conditions or deteriorating company and industry fundamentals can undermine the screen. It does not provide a backtest, define the control measure in sufficient detail for independent evaluation, or establish portfolio construction, execution timing, or exit rules. The proposed thresholds should therefore be treated as screening parameters rather than evidence of predictive performance.

Key ideas

• The screen combines daily amplitude above 1, an absolute daily control-measure change above 21, and auction returns between -2% and 5%.
• The article characterizes the filters as technical, control-related, and sentiment inputs.
• It suggests adding company and industry fundamentals, additional technical or volume measures, and risk controls.
• Auction-period price changes may reflect sentiment without reliably representing broader market conditions.
• The post supplies no tested performance evidence or complete trading and portfolio rules.

Tags

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