Chinese Stock Screen Combining Amplitude, Institutional Activity, and Auction Price

Summary

This Chinese stock-selection proposal combines three conditions: amplitude above a stated threshold, institutional participation above a stated level, and a prior-day 9:15 matching price described as limit-down. It presents the screen as a way to find shares with notable price movement and institutional activity, then gives corresponding platform conditions and a Python-oriented illustration for filtering stock data.

The document provides no backtest, sample, or performance evidence, and the example’s data operations are not fully specified enough to establish that it reliably implements the intended historical screen. The author also flags material limitations: the rules omit fundamental and sector risks, the auction-price condition may be affected by brief market moves, and high amplitude can indicate elevated risk. It recommends adding financial measures and applying risk controls, but does not define those additions or validate the resulting strategy.

Key ideas

• The screen requires elevated amplitude, institutional participation, and a prior-day opening-auction condition.
• The document supplies platform expressions and a rough data-filtering example for the criteria.
• No performance results or validation are provided for the proposed screen.
• The rules omit company fundamentals and sector risks, while high amplitude may signal greater risk.
• The author suggests adding fundamental filters and risk controls without specifying or testing them.

Tags

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