Chinese Stock Screen Using Auction Limits and Trading Activity

Summary

The document describes a Chinese equity screen that starts with amplitude above one, a prior-day 9:15 matched price at the limit-down level, and a control metric above 21. It then proposes a revised version using price-to-earnings below 50, turnover above 5, and volume above its five-day average, alongside the initial amplitude and auction-price conditions. The article also gives example indicator expressions and a Python-style selection outline that ranks qualifying stocks by popularity.

The author cautions that the control metric lacks a clear scientific basis, technical patterns may lag, and the method has no empirical evidence establishing its risk or return. The code is explicitly presented as a reference requiring adaptation; the document does not provide a backtest, performance results, or precise validation of the screening rules.

Key ideas

• The initial screen combines price amplitude, a prior-day opening auction limit-down condition, and a control metric.
• The revised screen adds valuation, turnover, and relative-volume filters.
• The example workflow ranks selected stocks by a popularity measure.
• The author notes that the control metric is not scientifically substantiated and may create false signals.
• No empirical performance evidence is supplied, so the strategy's risk and return remain uncertain.

Tags

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