Chinese Stock Screen Using Intraday Range and Auction Amount Ranking

Summary

The proposed screen selects stocks whose codes begin with 60, whose daily amplitude exceeds 1, and whose opening auction amount ranks among the top five. The article frames the range condition as a way to focus on volatile stocks and the auction ranking as a liquidity-related filter. It provides formula and Python examples for implementing the selection, but the Python example also includes a positive trading-amount condition beyond the three stated rules.

No backtest, sample period, or return evidence is presented. The article warns that relying only on technical activity and market sentiment leaves out company fundamentals, and suggests combining the screen with valuation and industry measures and adjusting its time window. The examples contain unclear or mismatched fields for amplitude and auction ranking, so the implementation details need verification against the data source before use. The claimed liquidity benefit is a rationale, not demonstrated evidence that the selected stocks will be consistently tradable.

Key ideas

• The screen requires a daily amplitude above 1, a top-five opening auction amount rank, and a stock code beginning with 60.
• The article treats high amplitude as a volatility filter and auction amount ranking as a liquidity consideration.
• The Python example adds a positive amount condition beyond the stated selection rules.
• The field definitions and ranking implementation are unclear and require verification.
• The article provides no performance evidence and notes that fundamentals and industry context are omitted.

Tags

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