Chinese Stock Screen for Prior-Day Leaderboard Activity and Auction Turnover

Summary

This Chinese equity screening rule selects stocks whose previous day’s price amplitude exceeds 1%, that appeared on the prior day’s trading leaderboard, and that rank among the top five by current-day auction amount. The proposed rationale is that elevated amplitude signals short-term movement, leaderboard presence reflects substantial trading activity, and strong auction turnover indicates market attention. The document includes formula and Python-style references for combining the filters and ranking candidates.

The article gives no backtest results or evidence that these signals predict returns. It flags reversal and general market risk, and notes that simulated results may differ from live outcomes. It suggests adding volume, valuation, capital-flow, market, and news information, as well as risk and capital controls. The supplied code examples leave practical details unresolved, including the precise data timing and whether each data source and field is consistent with the stated selection period. The screen is therefore a rule description rather than a validated trading strategy.

Key ideas

• The screen combines prior-day amplitude above 1% with prior-day leaderboard appearance.
• It ranks qualifying stocks by current-day auction amount and keeps the top five.
• The stated rationale links amplitude to volatility, leaderboard presence to large trading activity, and auction amount to attention.
• The article provides illustrative formula and Python references but no performance results.
• Market reversals, live-versus-simulated differences, and incomplete data specifications limit the evidence.

Tags

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