Chinese Stock Screen Combining Intraday Range, Limit-Low Auction, and Revenue Growth

Summary

This Chinese A-share screening proposal combines an amplitude above 1, a prior-day 9:15 indicative auction price at the limit down level, and 2021 revenue greater than 1.1 times 2018 revenue. Its final version also adds 2021 net profit growth above 5%. The document presents the auction condition as a possible sign of market sentiment and the multi-year revenue comparison as a growth filter. It includes platform-specific formula references and illustrative Python-like code for applying the conditions.

No backtest results or evidence of predictive value are reported. The post cautions that revenue growth alone does not capture company value and that a short historical window may overemphasize recent performance. It suggests adding valuation, profitability, and other fundamentals, as well as technical measures, and broadening the time window. The precise auction-price condition may be data- and platform-dependent, and the material does not define trade execution, position sizing, or portfolio risk controls.

Key ideas

• The initial screen requires amplitude above 1, a prior-day 9:15 indicative price at limit down, and 2021 revenue exceeding 1.1 times 2018 revenue.
• The final version adds 2021 net profit growth above 5%.
• The post treats auction pricing as a sentiment clue and historical revenue change as a growth filter.
• Revenue growth alone may misrepresent business quality, and the selected time window may be too narrow.
• The document reports no backtest evidence or rules for execution, sizing, or portfolio risk.

Tags

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