Chinese Stock Screen Using Intraday Amplitude, Auction Limits, and Bollinger Bands

Summary

This document describes a Chinese equity screen that combines three conditions: amplitude above 1, a prior-day 9:15 matching price at the limit-down price, and a close between the 20-period Bollinger middle and upper bands. It proposes selecting the top n qualifying stocks, with the accompanying example sorting by stock popularity. The rationale is to find volatile stocks with a particular auction and price-position profile, while the notes also suggest further review and diversification.

The article provides indicator expressions and illustrative Python-style code, but no backtest, performance data, or evidence that the filters predict returns. The formulas depend on platform-specific functions, and the sample code mixes those functions with a stock-data interface, so it is not a self-contained implementation. The author flags short-term volatility, sentiment, and buying at elevated prices as risks, and suggests adding fundamental and capital-flow measures. The screen is therefore a rough candidate-generation idea, not a validated standalone strategy.

Key ideas

• The screen requires amplitude above 1 and a prior-day 9:15 matching price equal to the limit-down price.
• The close must sit above the 20-period Bollinger middle band and below its upper band.
• The suggested process ranks qualifying stocks and selects a limited number for further review.
• The document provides formulas and sample code but no backtest or return evidence.
• It identifies volatility and elevated entry prices as risks and suggests broader analysis and diversification.

Tags

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