Chinese Stock Screening by Intraday Range, Drop, and Auction Return

Summary

This Chinese equity screening rule combines three price conditions: daily amplitude above 1%, a session low down between 4% and 5% from the prior close, and an opening auction return between -2% and 5%. The accompanying rationale interprets these filters as a way to find stocks with notable price movement and potentially strong trends. The article includes a sample implementation that checks daily price data and auction ticks, then applies additional filters involving stock name, market capitalization, and valuation ratios.

The post offers no backtest, return series, benchmark, or evidence that the selected shares have stronger trends or better rebound prospects. Its prose warns that volatile markets and auction conditions can distort the signal, and that trend filters may exclude stable stocks; it suggests combining the rule with indicators such as MACD or RSI. The sample implementation and written thresholds may not align exactly in their operational definitions, so the data fields, timing, and screening logic require careful verification before evaluation.

Key ideas

• The screen requires daily amplitude above 1%, a session low decline between 4% and 5%, and an auction return within the stated range.
• The article presents price movement and auction behavior as the basis for identifying candidates with possible trend strength.
• Its sample code also filters stocks using market capitalization, valuation fields, and name conventions.
• The post gives no historical performance evidence and cautions that market volatility and auction data can produce misleading signals.
• It proposes adding other technical indicators, while leaving their parameters and validation unspecified.

Tags

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