Chinese Stock Screen Using Volatility, Opening Gains, and Auction Flows

Summary

This document describes a Chinese equity screening rule that combines daily amplitude above a threshold, a limited price gain at the 9:25 auction, and positive net buying attributed to major participants. The rationale is to select stocks showing price movement without an excessive opening rise, alongside buying interest in pre-market auction data. It also suggests adding strength, potential, company fundamentals, financial condition, and industry trends to the selection process.

The post gives an indicator expression and a Python example intended to filter stocks using market data. It does not report a measured performance record or a controlled backtest. The code’s data fields and calculations may not consistently represent the stated auction and amplitude conditions, so implementation and data quality require scrutiny. The author also notes exposure to broad market declines, weak industries, and omitted fundamental factors; the screen is presented as one input to selection rather than a complete strategy.

Key ideas

• The screen combines price amplitude, a cap on the opening auction gain, and positive net buying during the auction.
• The stated rationale is to capture volatility and buying interest while avoiding stocks that have already risen sharply before the open.
• The post recommends considering fundamentals, financial condition, and industry trends alongside the screening indicators.
• Market weakness, poor industry conditions, and inaccurate or delayed data can undermine the screen.
• The document provides sample indicator and data-fetching logic but no verified performance evidence.

Tags

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