Chinese Stock Screen for Intraday Drawdowns and Auction Turnover

Summary

This Chinese-language post describes a short-term stock selection screen based on price movement and trading activity. It selects shares with an intraday amplitude above 1, a session low between 4% and 5% below the prior close, and previous-day opening-auction turnover above 0.26. The author interprets the decline as a possible rebound setup and turnover as a sign of attention or activity.

The post provides an illustrative implementation and adds exclusions based on listing history, market capitalization, price-to-book, and price-to-earnings ratios. However, the code's comparisons do not fully match the stated screen, and the post provides no backtest, return data, or evidence that a rebound follows these conditions. It cautions that simple short-term technical filters can select stocks in continuing declines and may miss fundamental and liquidity risks. The author suggests combining the screen with sentiment, capital-flow, and fundamental measures, alongside ongoing risk review.

Key ideas

• The screen targets stocks whose session low is between 4% and 5% below the previous close.
• It also requires price amplitude above 1 and prior-day auction turnover above 0.26.
• The author treats the combination as a possible rebound signal with elevated market attention.
• The example implementation includes additional valuation, size, and listing-history filters.
• No performance evidence is supplied, and the post warns that technical filters can overlook persistent declines and fundamental risks.

Tags

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