Chinese Stock Screening with Price Range, Dividend Ratio, and Opening Gap

Summary

This proposed Chinese stock screen combines a price-range condition, a historical dividend-ratio filter, and an opening-auction price change. It selects shares whose high-to-low range relative to the open exceeds 1%, whose 2019 dividend ratio is above 25%, and whose auction-related price change falls between -2% and 5%. The post includes formula-style logic and a Python example using market and stock-basic data to illustrate the screening process.

The author notes that the rules omit other fundamental and macroeconomic factors, and that auction prices may be affected by unusual events. Additional indicators and broader context are suggested, but no backtest, performance figures, or rationale for the cutoffs are supplied. The code should also be treated cautiously: the dividend field’s meaning and timing need verification, and the auction price calculation depends on the ordering and interpretation of tick records. The screen is best viewed as a hypothesis for further research rather than a validated selection method.

Key ideas

• The screen combines a daily price-range threshold, a 2019 dividend-ratio threshold, and an auction price-change band.
• The stated criteria are a range above 1%, a dividend ratio above 25%, and an auction change from -2% to 5%.
• The post warns that auction moves can be affected by unusual factors and that broader fundamentals are omitted.
• The examples provide no performance evidence, and data-field definitions and tick ordering need verification.

Tags

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