A Short-Term Stock Screen Using Price Range, Opening Gap, Auction Turnover, and Moving Averages

Summary

This document describes a Chinese stock-selection screen combining price movement, opening-auction behavior, trading activity, and a short-term trend condition. Its stated criteria include an amplitude threshold, a 9:25 price rise cap, and prior-day auction turnover; a sample indicator formula also requires the 5-, 10-, and 20-day moving averages to be ordered upward. The accompanying Python example outlines a data-based screening workflow using historical bars, tick data, and volume information.

The article frames the screen as a short-term method and notes that auction turnover can overweight market attention and liquidity while neglecting company fundamentals and broader trends. It suggests adding technical and fundamental filters. It offers no backtest, performance statistics, or evidence that the rules are predictive. The prose, formula, and code do not align perfectly on the exact turnover threshold and calculation, and the code’s data handling may need review before research or live use.

Key ideas

• The screen combines price amplitude, a cap on the 9:25 price increase, and prior-day auction turnover.
• The sample indicator formula adds an ascending order among the 5-, 10-, and 20-day moving averages.
• The example workflow uses historical price bars, tick data, and volume data to identify candidates.
• The source warns that short-term activity filters can neglect fundamentals and changing market conditions.
• The document provides no performance evaluation, and its descriptions and examples differ on some implementation details.

Tags

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