Chinese Stock Screen for Auction Limit-Down and Turnover Conditions

Summary

This Chinese-language post describes a stock-selection screen using three conditions: amplitude above 1, a prior-day 9:15 auction matched price at the limit-down level, and prior-day auction turnover above 0.26. It interprets large amplitude as a source of opportunity, the auction price as a possible sign of sentiment, and turnover as an indicator of capital activity. The post includes formula references for screening platforms and a Python-style example, but does not provide a backtest or performance results.

The source itself cautions that price behavior alone omits company fundamentals and that fixed thresholds may not suit all market conditions. It suggests adding valuation measures and reviewing historical auction turnover. The turnover condition appears in code as an inverse comparison, which may depend on platform-specific conventions and should be checked before implementation. The screen is a hypothesis, not evidence of a reliable edge.

Key ideas

• The screen combines amplitude, prior-day auction limit-down pricing, and auction turnover conditions.
• The post treats auction pricing as a possible sentiment signal and turnover as a measure of market activity.
• No backtest or trading performance evidence is presented.
• The author advises considering fundamentals and adjusting thresholds as market conditions change.
• The turnover formula uses an inverse inequality whose interpretation should be verified in the target platform.

Tags

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