Chinese Equity Screen Using Recent Limit-Ups and Positive Auction Flow

Summary

This post proposes a Chinese stock watchlist filter that combines above-threshold amplitude, at least one limit-up event in the preceding 25 days, and positive net buying by major participants during the opening auction. It provides formula and Python examples, although the code shown does not consistently implement the written rule: the Python conditions use weekly data and different price and moving-average tests, while the formula’s conditions also leave aspects of the limit-up lookback unclear.

The author argues that volatility and prior limit-up moves may indicate notable price behavior, while positive auction flow may reflect near-term buying interest. The post cautions that auction flows can be temporary and that weak company results or poor market conditions may undermine outcomes. It suggests adding technical and fundamental measures. No backtest or performance evidence is presented, and the filter does not specify position sizing, exits, or execution rules.

Key ideas

• The proposed screen uses amplitude, a recent limit-up event, and positive opening-auction net buying.
• The post supplies formula and Python examples that do not fully match the stated selection logic.
• Auction buying is described as a potentially temporary signal rather than proof of future strength.
• No performance testing, position sizing, or exit plan is provided.

Tags

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