Chinese Stock Screening by Opening Gap, Positive Earnings, and Range

Summary

This note describes a Chinese equity screen combining daily amplitude above 1%, positive price-to-earnings ratio, and a 9:25 auction gain below 6%. It presents amplitude as a measure of price activity, positive PE as a basic profitability filter, and the auction threshold as a way to avoid unusually large opening moves. It also suggests adding intraday indicators, company fundamentals, industry context, and governance factors.

The document gives formula examples and a Python sketch, but the examples do not fully establish a backtestable strategy. In particular, its stated 9:25 auction condition is represented by an open-to-prior-open calculation, which is not necessarily the same measure. No performance results or validation are reported. The note itself cautions that a single observation time and a small set of filters can be affected by market events or exclude otherwise relevant stocks.

Key ideas

• The screen requires daily amplitude above 1% and a positive PE ratio.
• It also limits the 9:25 auction gain to less than 6%.
• The note recommends combining these filters with intraday, fundamental, industry, and governance information.
• The formula sketch may not measure the stated auction move precisely, and no performance evidence is provided.

Tags

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