A-Share Stock Screening with Range, Limit-Ups, and Auction Turnover

Summary

The article proposes screening Chinese stocks using three conditions: daily amplitude above 1%, at least two limit-up events within a 500-day lookback, and prior-day auction turnover above 0.26. It supplies indicator expressions and a Python-style example that filters historical stock data for these characteristics. The intended rationale is to combine price movement and prior limit-up behavior with a recent measure of trading interest.

The author cautions that the screen is technically oriented, omits fundamental analysis, and relies partly on a short-term turnover measure that may be noisy. The article suggests adding fundamental and growth factors and considering other measures to improve robustness. It presents no backtest, returns, or benchmark comparison. The wording of the headline and body varies on the turnover threshold, so the intended cutoff is not fully consistent; the implementation details also warrant independent checking before use.

Key ideas

• The proposed screen combines daily amplitude, historical limit-up frequency, and prior-day auction turnover.
• The stated conditions include amplitude above 1% and at least two limit-up events over 500 days.
• The article treats auction turnover as a short-term proxy for trading interest and notes its potential volatility.
• The author warns that technical filters alone omit fundamental and growth information.
• No performance evaluation is supplied, and the turnover threshold is described inconsistently.

Tags

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