Chinese Stock Screen for Reversal Days and Prior-Day Limit-Down Auctions

Summary

This document describes a Chinese equity screening strategy combining daily price range, a reversal pattern, and a prior-day 9:15 auction price at least 10% below its comparison price. It then narrows candidates by market capitalization and recent trading value, aiming to find liquid stocks with potential downside. The post includes formula and Python examples, but it does not provide backtest results or evidence that the screen predicts returns.

The implementation has material ambiguities: the stated reversal condition is not clearly equivalent to the candlestick pattern used in the Python example, and auction-price indexing and comparison appear inconsistent across the examples. The market-cap ranking and trading-value ranking also need careful verification against the intended universe and data definitions. The post itself notes that eligible stocks may be scarce and liquidity may be insufficient; it also warns that the screen can miss rising stocks. Treat it as a proposed filter requiring data validation and testing, not as an established trading edge.

Key ideas

• The screen combines a daily range threshold, a reversal condition, and a prior-day auction-price decline.
• It further filters for larger-cap stocks and ranks by recent trading value.
• The document provides formulas and sample code but reports no performance evaluation.
• Its reversal definition and some data comparisons are ambiguous across implementations.
• The author flags sparse candidates and inadequate liquidity as practical risks.

Tags

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