Chinese Stock Screen for Volatility, Auction Limit-Down, and Price-Limit Patterns

Summary

This post outlines a short-term Chinese equity screen combining amplitude above 1, a prior-day 9:15 auction match price at the limit down, exclusion of special-treatment stocks, and a “five-step limit-up” condition. It proposes running the selection before 10 a.m. and sorting candidates by auction amount. The author suggests that volatility and the prior auction price may capture market emotion, while the pattern condition is intended to identify stocks in a speculative phase.

The post offers indicator-formula and Python-style references, but does not provide a backtest, performance statistics, or precise validation of the signals. Its sample code also relies on platform-specific functions and data fields, so it may require adaptation. The author characterizes the approach as high risk because it depends on sentiment and short-term market conditions, and suggests adding fundamental filters and risk controls. These are screening ideas rather than evidence of a stable or profitable trading strategy.

Key ideas

• The screen combines high daily amplitude with a prior-day auction price at the limit down.
• It excludes special-treatment stocks and applies a separate limit-up pattern condition.
• The suggested selection time is before 10 a.m., with candidates ranked by auction amount.
• The post provides code references but no backtest or performance evidence.
• The author flags short-term sentiment dependence and recommends additional analysis and risk controls.

Tags

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