Chinese Stock Screen Combining Intraday Auction Rank, Amplitude, and Profit Growth

Summary

This Chinese stock screen selects securities with price amplitude greater than 1, ranks among the top five by the day’s auction amount, and year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%. The article supplies a formula reference and a Python example, which removes halted stocks and returns up to five selected codes.

The screen combines a short-term activity and volatility filter with a reported earnings-growth condition. The article warns that this emphasis may overlook longer-term company prospects and valuation, and that accounting changes or other non-operating factors can affect profit growth. It recommends adding broader fundamental measures and trend analysis. No backtest, return data, or evidence that the selection criteria improve performance is provided. The example code is illustrative and relies on data fields and ranking logic whose availability and definitions should be checked before use.

Key ideas

• The screen requires amplitude above 1 and a top-five ranking by the day’s auction amount.
• It filters for parent-company net profit growth above 20% and at most 100% year over year.
• The method combines short-term trading activity with an earnings-growth filter.
• The article identifies valuation, long-term prospects, and accounting effects as potential blind spots.
• No backtest or performance evidence is given.

Tags

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