Chinese Stock Screening with Volatility and Auction-Price Filters

Summary

This Chinese stock-selection proposal combines a daily amplitude threshold above 1, a 9:25 price rise below 6%, and an auction move between −2% and 5%. Its rationale is to screen for volatility and pre-open price behavior. The post also gives example formula logic and a Python outline that retrieves market data and checks candidate stocks, then suggests adding stable fundamentals, favorable industry conditions, and growth prospects.

The article presents this as a screening tool, not a complete investment process. It acknowledges that the filters can miss fundamental information and that auction prices fluctuate, and it recommends considering company, industry, financial, and broader market factors. No performance results or backtest are reported. The code’s data-field interpretations and condition implementations are not fully consistent with the prose, so the examples should be checked before use; the document does not establish that the additional fundamental criteria are implemented in its code.

Key ideas

• The proposed screen filters stocks by amplitude, 9:25 price change, and auction movement.
• The stated auction range is between −2% and 5%, while the 9:25 rise must remain below 6%.
• The post recommends adding fundamental, industry, financial, and market context.
• It warns that price-based screening alone can overlook company fundamentals and carries risk.
• The examples provide no backtest results, and their formulas should be checked against the stated rules.

Tags

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