Chinese Stock Screen Using Price Range, Limit-Up History, and Auction Buying

Summary

This Chinese stock-screening proposal combines a minimum daily price range with at least two limit-up events over a 500-day lookback and signs of large buying orders during the opening auction. It also specifies a threshold for combined very-large-order buying volume. The stated rationale is to combine price action associated with strong advances and short-term capital-flow signals when identifying stocks attracting substantial buying interest.

The document offers formulas and sample Python logic, but the implementation details do not align perfectly with the stated rule: the sample uses real-time quote fields and a price-change threshold as proxies for auction activity, while its lookback calculation and volume units also warrant careful review. No backtest results or evidence of predictive performance are supplied. The authors warn that auction prices can fluctuate, capital-flow measures may not represent broader investor intent, and liquidity or market conditions can change the screen’s effectiveness. Fundamental context and validation would be needed before using the selections.

Key ideas

• The screen combines daily price range, past limit-up events, and opening-auction buying activity.
• Its stated lookback for limit-up events is 500 days.
• The sample code uses real-time quote data as a proxy for auction and large-order activity.
• The document provides no backtest results and flags liquidity, price swings, and capital-flow interpretation as risks.

Tags

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