Chinese Stock Screen Using Auction Value, Amplitude, and Opening Return

Summary

This Chinese equities screening idea selects stocks with amplitude above 1, ranks them by the day’s auction value, keeps the top five, and requires the auction return to fall between −2% and 5%. The accompanying explanation frames the filters as a way to combine price movement, trading activity, and pre-open demand. It also gives formula and Python examples intended to express the conditions, though the Python example uses high price as a proxy for auction price change, which does not clearly match the stated auction filter.

The post offers no backtest, performance figures, or evidence that the screen predicts returns. It cautions that the rules largely ignore company fundamentals and that auction changes may be misread. It suggests adding technical measures and fundamental analysis, along with position and risk controls. As presented, this is a screening template rather than a validated trading strategy; the exact definitions of amplitude, auction value, and price inputs should be checked against the chosen data source before use.

Key ideas

• The screen requires amplitude above 1 and auction return between −2% and 5%.
• It ranks eligible stocks by auction value and selects the top five.
• The post presents the filters as a way to capture active trading and pre-open interest.
• It warns that the screen omits fundamental analysis and may misclassify auction signals.
• The examples do not establish profitability and may not implement the stated auction return consistently.

Tags

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